Papers
- L. A. Abbas-Turki, I. Karatzas and Q. Li.
Impulse Control of a Diffusion with a Change Point,
to appear in Stochastics, 2014
- L. A. Abbas-Turki, A. I. Bouselmi and M. A. Mikou.
Toward a Coherent Monte Carlo Simulation of CVA,
Monte Carlo Methods and Applications, Vol. 20(3), Pages 195-216, 2014
- L. A. Abbas-Turki and D. Lamberton.
European Options Sensitivity with Respect to the Correlation
for Multidimensional Heston Models, International Journal of Theoretical and Applied Finance, Vol. 17(03), 2014
- L. A. Abbas-Turki and B. Lapeyre.
American Options by Malliavin Calculus and Nonparametric Variance
and Bias Reduction Methods, SIAM J. Financial Math. Vol. 3, Pages 479-510, 2012
- L. A. Abbas-Turki, S. Vialle, B. Lapeyre, and P. Mercier.
Pricing Derivatives on GPUs Using Monte Carlo Simulation,
Concurrency Computat.: Pract. Exper. DOI: 10.1002/cpe.2862, 2012
Proceedings