Ahmed Kebaier

Available identifiers

zbMath Open kebaier.ahmedMaRDI QIDQ271864

List of research outcomes

Publication	Date of Publication	Type
Approximation of Stochastic Volterra Equations with kernels of completely monotone type	2024-01-02	Paper
Adaptive importance sampling for multilevel Monte Carlo Euler method	2023-07-03	Paper
The interpolated drift implicit Euler scheme Multilevel Monte Carlo method for pricing Barrier options and applications to the CIR and CEV models	2022-10-03	Paper
Central limit theorem for the antithetic multilevel Monte Carlo method	2022-09-05	Paper
Quantifying uncertainty with a derivative tracking SDE model and application to wind power forecast data	2021-12-10	Paper
Local asymptotic properties for Cox‐Ingersoll‐Ross process with discrete observations	2021-06-22	Paper
Asymptotic behavior of the multilevel type error for SDEs driven by a pure jump L\'evy process	2021-04-28	Paper
Non-asymptotic error bounds for the multilevel Monte Carlo Euler method applied to SDEs with constant diffusion coefficient	2019-05-16	Paper
Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations	2019-05-15	Paper
Local asymptotic properties for the growth rate of a jump-type CIR process	2019-02-28	Paper
Coupling importance sampling and multilevel Monte Carlo using sample average approximation	2018-08-14	Paper
Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model	2018-06-21	Paper
Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations	2018-04-13	Paper
Maximum likelihood estimation for Wishart processes	2016-10-12	Paper
Importance sampling and statistical Romberg method for Lévy processes	2016-04-20	Paper
Improved adaptive Multilevel Monte Carlo and applications to finance	2016-03-09	Paper
Importance sampling and statistical Romberg method	2015-10-30	Paper
Central limit theorem for the multilevel Monte Carlo Euler method	2015-02-26	Paper
Multilevel Monte Carlo for Asian options and limit theorems	2014-09-17	Paper
Asymptotic Behavior of the Maximum Likelihood Estimator for Ergodic and Nonergodic Square-Root Diffusions	2013-08-27	Paper
Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases	2012-12-20	Paper
Weighted Limit Theorems for Continuous-Time Vector Martingales with Explosive and Mixed Growth	2012-04-18	Paper
Théorèmes limites avec poids pour les martingales vectorielles à temps continu	2010-03-15	Paper
An optimal control variance reduction method for density estimation	2009-01-16	Paper
Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing	2006-07-10	Paper

Research outcomes over time

Doctoral students

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