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Publications
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"Multidimensional asymptotic quantization theory with $r$th power distortion measures",
Information Theory, IEEE Transactions on , vol. 28, issue 2, pp. 239 - 247, 1982.
Abstract
"A quantization algorithm for solving multidimensional optimal stopping problems, preprint",
University de Paris VI, pp. 1003–1049, 2001.
Abstract
"A stochastic quantization method for nonlinear problems",
Monte Carlo Methods and Applications, vol. 7(1), pp. 21-34, 2001.
Abstract
"Error analysis of the quantization algorithm for obstacle problems",
Stochastic Processes & Their Applications, vol. 106(1), 2003.
Abstract
"First order schemes in the numerical quantization method",
Mathematical Finance, vol. 13, issue 1, pp. 1-16, 2003.
Abstract
Download: First Order Schmes.pdf (218.51 KB)
"A quantization tree method for pricing and hedging multidimensional American options",
Mathematical Finance, vol. 15, no. 1, pp. 119-168, 2005.
Abstract
Download: Quantization-Tree.pdf (483.24 KB)
"Optimal quantization for the pricing of swing options",
Applied Mathematical Finance, vol. 16, issue 2, pp. 183-217, 2009.
Abstract
CVaR hedging using quantization based stochastic approximation algorithm,
, 2010.
Abstract
Download: CVaR_hedging.pdf (369.08 KB)