Home

Publications

Export 9 results:
Sort by: Author Title [ Type (Asc)] Year
Filters: Keyword is numerical integration  [Clear All Filters]
Journal Article
Sylvain Corlay, and Gilles Pagès, Functional quantization based stratified sampling methods, , 2010. Abstract  Download: functional_stratif.pdf (665.41 KB)
Gilles Pagès, and Benedikt Wilbertz, Intrinsic stationarity for vector quantization: Foundation of dual quantization, , 2010. Abstract  Download: Foundation of dual quantization.pdf (962.7 KB)
Sylvain Corlay, The Nyström method for functional quantization with an application to the fractional Brownian motion, , 2010. Abstract  Download: nystrom_quantization.pdf (457.33 KB)
Gilles Pagès, and Jacques Printems, "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)
Gilles Pagès, and Jacques Printems, "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)
Gilles Pagès, Huyên Pham, and Jacques Printems, Optimal quantization methods and applications to numerical problems in finance, , 2004. Abstract
Afef Sellami, "Quantization based filtering method using first order approximation", SIAM journal on numerical analysis, vol. 47, issue 6, pp. 4711-4734 , 2010. Abstract
Gilles Pagès, "A space quantization method for numerical integration", J. Comput. Appl. Math., vol. 89, no. 1, Amsterdam, The Netherlands, Elsevier Science Publishers B. V., pp. 1–38, 1998. Abstract
Miscellaneous
Gilles Pagès, and Jacques Printems, "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)