Université d'Évry - Departement de Mathematiques
F-91025 Evry Cedex
France
email address
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ESSEC Business School - Finance Department
Avenue Bernard Hirsch
BP 105 Cergy Cedex, 95021
France
email address
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Quantitative Reasearcher on Structured Rates Derviatives
HSBC (Global Markets)
Fourth Floor, 8 Canada Square
Canary Wharf, London, E14 5HQ
United Kingdom
email address
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Roland, Sebastien's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
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1.
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Roland, Sebastien
Université d'Évry - Departement de Mathematiques Viet, Lionel
Dresdner Kleinwort Wasserstein Ciuca, Marian
Pricing Partners Benhamou, Eric
Pricing Partners
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11 Nov 08
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Last Revised:
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15 May 09
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312
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Exotics, Hybrids, HJM, BGM, Markov Chains, transition matrix, Longstaff Schwarz, probability measure, forward neutral, survival neutral
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2.
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Amzal, Billy
Université Paris-Dauphine - CEREMADE Ebguy, Yonathan
French National Center for Scientific Research (CNRS) - Center for Political Research Roland, Sebastien
Université d'Évry - Departement de Mathematiques
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137
(105,762)
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Calibration, option pricing, jump-diffusion model, Particle Systems, Markov Chain Monte-Carlo
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3.
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Roland, Sebastien
Université d'Évry - Departement de Mathematiques
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111
(125,285)
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Learning, filtering, dynamic programming, utility optimization, complete market, partial information, value of information
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4.
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Roland, Sebastien
Université d'Évry - Departement de Mathematiques
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01 Aug 05
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Last Revised:
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20 Apr 09
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17
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Utility maximization, incomplete market, discrete observations, non-linear filter, point process, Malliavin calculus, random measure.
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5.
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Roland, Sebastien
Université d'Évry - Departement de Mathematiques
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Estimation, hidden Markov model, non-linear filter, multivariate point process, likelihood inference, particle systems
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6.
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Roland, Sebastien
Université d'Évry - Departement de Mathematiques
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Utility maximization, hedging, market incompleteness, partial information, jump-diffusion, non-linear filter, Malliavin calculus.
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Records 1 -
6
of 6 matches
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