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Publications
"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
"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)
"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)
"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)
Intrinsic stationarity for vector quantization: Foundation of dual quantization,
, 2010.
Abstract
Download: Foundation of dual quantization.pdf (962.7 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)
Convergence of distributed asynchronous learning vector quantization algorithms,
, 2010.
Abstract
Download: AsyncStochGradient.pdf (498.47 KB)
"Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation",
Monte Carlo methods and Applications, vol. 11(1), pp. 57-81, 2005.
Abstract
Download: Quantization filter process optimal stopping.pdf (345.93 KB)
"Universal $L^s$-rate-optimality of $L^r$-optimal quantizers by dilatation and contraction",
ESAIM: Probability and Statistics, vol. 13, pp. 218-246, 2009.
Abstract
Convergence of multi-dimensional quantized SDE's,
, 2010.
Abstract
Download: Pages_Sellami_Quantized_SDE.pdf (356.05 KB)
"Comparative survey on nonlinear filtering methods: the quantization and the particle filtering approaches",
Journal of Statistical Computation and Simulation, vol. 78, issue 2, pp. 93-113, 2008.
Abstract
"Méthodes de quantification optimale pour le filtrage et applications à la finance",
Applied mathematics: Université Paris Dauphine, 2005.
Abstract
Download: PhD_AfefSELLAMI.pdf (1.35 MB)Introduction_Sellami.pdf (248.72 KB)
"Quantization based filtering method using first order approximation",
SIAM journal on numerical analysis, vol. 47, issue 6, pp. 4711-4734 , 2010.
Abstract
"Linear transformations and the k-means clustering algorithm: applications to clustering curves",
Am Stat., vol. 61(1), pp. 34–40, 2007.
Abstract
"Construction of optimal quantizers for Gaussian measures on Banach spaces",
Mathematik: Universität Trier, 2008.
Abstract