Nabil Kahalé

ESCP Europe

Associate Professor

79 avenue de la Republique

75011 Paris

France

Labex ReFi

Associate Professor

79 Avenue de la République

75011 Paris

France

SCHOLARLY PAPERS

4

DOWNLOADS

359

CITATIONS
Rank 40,226

SSRN RANKINGS

Top 40,226

in Total Papers Citations

4

Scholarly Papers (4)

1.
Downloads 145 (169,655)
Citation 2

Model-Independent Lower Bound on Variance Swaps

Number of pages: 21 Posted: 01 Nov 2009 Last Revised: 06 Apr 2011
Nabil Kahalé
ESCP Europe
Downloads 145 (169,981)
Citation 2

Abstract:

model risk, hedging, sub-replication, realized variance, variance swap

Model‐Independent Lower Bound on Variance Swaps

Mathematical Finance, Vol. 26, Issue 4, pp. 939-961, 2016
Number of pages: 23 Posted: 20 Sep 2016
Nabil Kahalé
ESCP Europe
Downloads 0
Citation 2
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Abstract:

model risk, hedging, subreplication, realized variance, variance swap

2.

Super-Replication of Financial Derivatives via Convex Programming

Number of pages: 42 Posted: 11 Nov 2012 Last Revised: 30 May 2016
Nabil Kahalé
ESCP Europe
Downloads 142 (140,612)

Abstract:

Model risk, robust replication, robust hedging, convex programming, financial derivatives

3.

Sparse Calibrations of Contingent Claims

Mathematical Finance, Vol. 20, Issue 1, pp. 105-115, January 2010
Number of pages: 11 Posted: 18 Jan 2010
Nabil Kahalé
ESCP Europe
Downloads 2 (541,696)
Citation 2
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Abstract:

4.

Efficient Simulation of High Dimensional Gaussian Vectors

Number of pages: 27 Posted: 14 Jul 2016
Nabil Kahalé
ESCP Europe
Downloads 0 (392,556)

Abstract:

Cholesky factorisation, Gaussian vectors, Markov chains, Monte Carlo simulation