Paper presented in a Conference

2019

KAHALE, N.

Randomized Dimension Reduction for Monte Carlo Simulations

in Advanced Mathematical Methods in Finance (AMAMEF), 2019, Paris, France

Paper presented in a Conference

2018

KAHALE, N.

General multilevel Monte Carlo methods for pricing discretely monitored Asian options

in Affi 2018, 2018, Paris, France

Paper presented in a Conference

2018

KAHALE, N.

Randomized Dimension Reduction for Monte Carlo Simulations

in ISMP 2018, 2018, Bordeaux, France

Journal Article

2017

KAHALE, N.

Super-Replication of Financial Derivatives Via Convex Programming

MANAGEMENT SCIENCE, 2017, vol. 63(7), pp. 2323-2339

Paper presented in a Conference

2016

KAHALE, N.

Efficient simulation of high dimensional Gaussian vectors

in 2nd IMA Conference on the Mathematical Challenges of Big Data, 2016, London, United Kingdom

Journal Article

2016

KAHALE, N.

Model-independent lower bound on variance swaps

MATHEMATICAL FINANCE, 2016, vol. volume 26 numéro 4, pp. 939-961

Paper presented in a Conference

2016

KAHALE, N.

Optimized sampling for Monte Carlo simulations via dimension reduction

in Optimization for Machine Learning, 2016, Barcelona, Spain

Journal Article

2010

KAHALE, N.

Sparse calibrations of contingent claims

MATHEMATICAL FINANCE, January 2010, vol. Vol. 20, Issue 1, pp. pp. 105-115 11 p.

Journal Article

2008

KAHALE, N.

Analytic crossing probabilities for certain barriers by Brownian motion

ANNALS OF APPLIED PROBABILITY, August 2008, vol. 18 (4), pp. 1424-1440

Journal Article

2004

KAHALE, N.

An Arbitrage-free Interpolation of Volatilities

RISK, May 2004, pp. pp 102-106 5 p

Looking for someone else ?
ESCP faculty directory