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Optimal quantization for finance : from random vectors to stochastic processes
Pagès, Gilles; Printems, Jacques - 2009
Persistent link: https://www.econbiz.de/10003827077
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Recursive marginal quantization of the Euler scheme of a diffusion process
Pagès, Gilles; Sagna, Abass - In: Applied mathematical finance 22 (2015) 5/6, pp. 463-498
Persistent link: https://www.econbiz.de/10011490616
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Urn model-based adaptive multi-arm clinical trials : a stochastic approximation approach
Laruelle, Sophie; Pagès, Gilles - In: Econophysics of agent-based models, (pp. 45-59). 2014
Persistent link: https://www.econbiz.de/10011281730
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CVaR hedging using quantization-based stochastic approximation algorithm
Bardou, O.; Frikha, N.; Pagès, Gilles - In: Mathematical finance : an international journal of … 26 (2016) 1, pp. 184-229
Persistent link: https://www.econbiz.de/10011550286
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Fast hybrid schemes for fractional Riccati equations (rough is not so tough)
Callegaro, Giorgia; Grasselli, Martino; Pagès, Gilles - In: Mathematics of operations research 46 (2021) 1, pp. 221-254
Persistent link: https://www.econbiz.de/10012498120
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Convex ordering for stochastic Volterra equations and their Euler schemes
Jourdain, Benjamin; Pagès, Gilles - In: Finance and stochastics 29 (2025) 1, pp. 1-62
Persistent link: https://www.econbiz.de/10015394769
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Stationary Heston model : calibration and pricing of exotics using product recursive quantization
Lemaire, Vincent; Montes, Thibaut; Pagès, Gilles - In: Quantitative finance 22 (2022) 4, pp. 611-629
Persistent link: https://www.econbiz.de/10013367839