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Publications
Filters: Author is Jacques Printems [Clear All Filters]
"A stochastic quantization method for nonlinear problems",
Monte Carlo Methods and Applications, vol. 7(1), pp. 21-34, 2001.
Abstract
"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)
"Pricing path-dependent options using optimized functional quantization",
Numerical Methods in Finance, 2006.
Download: Pricing Path Dependent Option Using Functional Quantization.pdf (762.71 KB)
"Optimal quantization for Finance: from random vectors to stochastic processes",
Handbook of Numerical Analysis, vol. 15, 2008.
Abstract
Download: Handbook_2008_Quantization_in_finance.pdf (478.77 KB)
"Optimal quadratic quantization for numerics: the Gaussian case",
Monte Carlo Methods and Applications, vol. 9, pp. 135–166, 2003.
Abstract
Download: Gaussian Case.pdf (563.34 KB)
"An optimal Markovian quantization algorithm for multidimensional stochastic control problems",
Stochastics and Dynamics, vol. 4(4), pp. 501-545, 2004.
Abstract
"Functional quantization for numerics with an application to option pricing",
Monte Carlo Methods and Appl., vol. 11, no. 11, pp. 407-446, 2005.
Abstract
Download: Functional Quantization Num.pdf (531.76 KB)
"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)