Mohamed Mnif

Ecole Nationale d'Ingénieurs de Tunis (ENIT)

Tunisia

SCHOLARLY PAPERS

2

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202

SSRN CITATIONS

0

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0

Scholarly Papers (2)

1.

Numerical Methods for an Optimal Order Execution Problem

Number of pages: 29 Posted: 05 Jun 2010
Fabien Guilbaud, Mohamed Mnif and Huyên Pham
Université Paris VII Denis Diderot, Ecole Nationale d'Ingénieurs de Tunis (ENIT) and Université Paris VII Denis Diderot
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Citation 3

Abstract:

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Optimal Liquidation, Impulse Control Problem, Quasi-Variational Inequality, Explicit Backward Scheme, Quantization Method, Viscosity Solutions

2.

Path-dependent American Options

Journal of Computational Finance, Vol. 23, No. 1, 2019
Number of pages: 36 Posted: 03 Jul 2019
Université de Marne-la-Vallée, Université d'Évry and Ecole Nationale d'Ingénieurs de Tunis (ENIT)
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Abstract:

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stochastic control, path-dependent viscosity solutions, numerical scheme, variational inequalities, American option