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An analysis of the true notional bond system applied to the CBOT T-bond futures

Ben-Abdallah, Ramzi; Ben-Ameur, Hatem; Breton, Michèle - In: Journal of banking & finance 33 (2009) 3, pp. 534-545

Persistent link: https://www.econbiz.de/10003807700

A dynamic programming approach for pricing options embedded in bonds

Ben-Ameur, Hatem; Breton, Michèle; Karoui, Lotfi; … - In: Journal of economic dynamics & control 31 (2007) 7, pp. 2212-2233

Persistent link: https://www.econbiz.de/10003485019

Dynamic programming for designing and valuing two-dimensional financial derivatives

Ben-Abdellatif, Malek; Ben-Ameur, Hatem; Chérif, Rim; … - In: Risks : open access journal 12 (2024) 12, pp. 1-15

We use dynamic programming, finite elements, and parallel computing to design and evaluate two-dimensional financial derivatives. Our dynamic program is flexible, as it divides the evaluation process into two components: one related to the dynamics of the underlying process and the other to the...

Persistent link: https://www.econbiz.de/10015325218

Canadian investors and the discount on closed-end funds

Ayadi, Mohamed A.; Ben-Ameur, Hatem; Lazrak, Skander; … - In: Journal of financial services research : JFSR 43 (2013) 1, pp. 69-98

Persistent link: https://www.econbiz.de/10009719125

Upper and lower bounds for convex value functions of derivative contracts

Ben-Ameur, Hatem; Frutos, Javier de; Fakhfakh, Tarek; … - In: Economic modelling 34 (2013), pp. 69-75

Persistent link: https://www.econbiz.de/10010360612

A stochastic dynamic program for valuing options on futures

Ayadi, Mohamed A.; Ben-Ameur, Hatem; Kirillov, Tymur; … - In: The journal of futures markets 34 (2014) 12, pp. 1185-1201

Persistent link: https://www.econbiz.de/10010508671

A dynamic program for valuing corporate securities

Ayadi, Mohamed; Ben-Ameur, Hatem; Fakhfakh, Tarek - In: European journal of operational research : EJOR 249 (2016) 2, pp. 751-770

Persistent link: https://www.econbiz.de/10011436876

Pricing interest-rate derivatives with piecewise multilinear interpolations and transition parameters

Ben-Ameur, Hatem; Karoui, Lotfi; Mnif, Walid - In: The journal of derivatives : the official publication … 22 (2014) 2, pp. 82-109

Persistent link: https://www.econbiz.de/10011311415

Risk management of time varying floors for dynamic portfolio insurance

Ben-Ameur, Hatem; Prigent, Jean-Luc - In: European journal of operational research : EJOR 269 (2018) 1, pp. 363-381

Persistent link: https://www.econbiz.de/10011864356

Typical and tail performance of Canadian equity SRI mutual funds

Ayadi, Mohamed A.; Ben-Ameur, Hatem; Kryzanowski, Lawrence - In: Journal of financial services research : JFSR 50 (2016) 1, pp. 57-94

Persistent link: https://www.econbiz.de/10011667782

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