Pierre Del Moral

INRIA Bordeaux-Sud Ouest

Researc Director

351, cours de la Liberation

Bordeaux, 33405

France

http://www.math.u-bordeaux1.fr/~delmoral/

University of Bordeaux - University of Bordeaux 1

351 cours de la Libération

33405 TALENCE cedex

France

SCHOLARLY PAPERS

3

DOWNLOADS

312

SSRN CITATIONS

3

CROSSREF CITATIONS

5

Scholarly Papers (3)

1.

Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity

Number of pages: 28 Posted: 07 Nov 2010 Last Revised: 23 Jun 2011
Pierre Del Moral, Bruno Remillard and Sylvain Rubenthaler
INRIA Bordeaux-Sud Ouest, Department of Decision Sciences, HEC Montreal and Université de Nice Sophia Antipolis
Downloads 167 (195,017)
Citation 5

Abstract:

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American Option, Simulation, Exercise Region, Snell Envelope

2.

Valuation of Barrier Options Using Sequential Monte Carlo

Journal of Computational Finance 2015
Number of pages: 30 Posted: 24 Nov 2014 Last Revised: 25 Jul 2015
Pavel V. Shevchenko and Pierre Del Moral
Macquarie University and INRIA Bordeaux-Sud Ouest
Downloads 104 (281,367)
Citation 3

Abstract:

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Sequential Monte Carlo, particle methods, Feynman-Kac representation, barrier options, Monte Carlo, option pricing

3.

An Introduction to Stochastic Particle Integration Methods: With Applications to Risk and Insurance

Number of pages: 42 Posted: 05 Jun 2017
Pierre Del Moral, Gareth Peters and Christelle Verge
INRIA Bordeaux-Sud Ouest, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Independent
Downloads 41 (457,174)
Citation 5

Abstract:

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insurance, particle filtering, sequential monte carlo, accept-reject, Feynmann-Kac Interacting Particles