Asma Khedher

Available identifiers

zbMath Open khedher.asmaMaRDI QIDQ730514

List of research outcomes

Publication	Date of Publication	Type
An infinite‐dimensional affine stochastic volatility model	2023-09-28	Paper
Infinite-dimensional Wishart-processes	2023-04-07	Paper
Affine pure-jump processes on positive Hilbert-Schmidt operators	2022-07-27	Paper
FROM BID-ASK CREDIT DEFAULT SWAP QUOTES TO RISK-NEUTRAL DEFAULT PROBABILITIES USING DISTORTED EXPECTATIONS	2021-08-24	Paper
A Kalman particle filter for online parameter estimation with applications to affine models	2021-08-17	Paper
Utility maximisation and time-change	2019-12-06	Paper
Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting	2019-05-15	Paper
Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk	2018-09-18	Paper
Pricing of commodity derivatives on processes with memory	2017-11-01	Paper
Weak Stationarity of Ornstein-Uhlenbeck Processes with Stochastic Speed of Mean Reversion	2017-01-16	Paper
Model risk and discretisation of locally risk-minimising strategies	2016-12-28	Paper
Quantification of Model Risk in Quadratic Hedging in Finance	2016-04-22	Paper
https://portal.mardi4nfdi.de/entity/Q2787474	2016-03-04	Paper
Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps	2015-12-23	Paper
Robustness of quadratic hedging strategies in finance via Fourier transforms	2015-12-21	Paper
Discretisation of FBSDEs driven by càdlàg martingales	2015-11-18	Paper
A note on convergence of option prices and their Greeks for Lévy models	2014-04-17	Paper
Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models	2012-06-20	Paper
https://portal.mardi4nfdi.de/entity/Q3078233	2011-02-18	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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