Mohamed Mnif

Ecole Nationale d'Ingénieurs de Tunis (ENIT)

Tunisia

SCHOLARLY PAPERS

3

DOWNLOADS

205

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

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 de Paris
Downloads 201 (165,303)
Citation 3

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

2.

A Policy Iteration Algorithm for Nonzero-Sum Stochastic Impulse Games

ESAIM: ProcS: 27-45, 2019, Université Paris-Dauphine Research Paper No. 3530120
Number of pages: 23 Posted: 27 Feb 2020
Université Paris-Dauphine, affiliation not provided to SSRN, Ecole Nationale d'Ingénieurs de Tunis (ENIT), London School of Economics & Political Science (LSE) and affiliation not provided to SSRN
Downloads 3 (685,877)

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Stochastic Impulse Game, Nonzero-Sum Game, Nash Equilibrium, Policy Iteration, Howard’s Algorithm, Quasi-Variational Inequality, Stochastic Impulse Control

3.

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