Sylvain Corlay

Université Paris VI Pierre et Marie Curie

PhD candidate

4 place Jussieu

Tour 16-26

Paris, 75013

France

SCHOLARLY PAPERS

2

DOWNLOADS

51

CITATIONS

0

Scholarly Papers (2)

1.

Functional Quantization Based Stratified Sampling Methods

Number of pages: 30 Posted: 31 Mar 2010 Last Revised: 28 Aug 2010
Gilles Pages and Sylvain Corlay
Université Paris VI and Université Paris VI Pierre et Marie Curie
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Abstract:

Functional Quantization, Vector Quantization, Stratification, Variance Reduction, Monte-Carlo Simulation, Karhunen-Loève Basis, Gaussian Process, Brownian Motion, Brownian Bridge, Ornstein-Uhlenbeck Process, Fractional Brownian Motion, Principal Component Analysis, Option Pricing

2.

Multifractional Stochastic Volatility Models

Mathematical Finance, Vol. 24, Issue 2, pp. 364-402, 2014
Number of pages: 39 Posted: 06 Mar 2014
Université Paris VI Pierre et Marie Curie, CNRS and Regularity Team Inria Saclay
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Abstract:

Hull & White model, functional quantization, vector quantization, Karhunen‐Loève, Gaussian process, fractional Brownian motion, multifractional Brownian motion, white noise theory, S‐transform, Wick‐Itô integral, stochastic differential equations