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hal-00680652v2  Journal articles
Céline LabartJérôme Lelong. A Parallel Algorithm for solving BSDEs
Monte Carlo Methods and Applications, De Gruyter, 2013, 19 (1), pp.11-39. ⟨10.1515/mcma-2013-0001⟩
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hal-02183587v3  Journal articles
Bernard LapeyreJérôme Lelong. Neural network regression for Bermudan option pricing
Monte Carlo Methods and Applications, De Gruyter, 2021, 27 (3), pp.227-247. ⟨10.1515/mcma-2021-2091⟩
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hal-01024648v3  Journal articles
Marianne ClauselJean-François CoeurjollyJérôme Lelong. Stein estimation of the intensity of a spatial homogeneous Poisson point process
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2016, 26 (3), pp.1495-1534. ⟨10.1214/15-AAP1124⟩
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hal-01337197v2  Journal articles
Stéphane LabbéJérôme Lelong. Stochastic modelling of thermal effects on a ferromagnetic nano particle
Journal of Dynamics and Differential Equations, Springer Verlag, 2020, 32, pp.1273-1290. ⟨10.1007/s10884-019-09769-8⟩
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hal-00776713v1  Book sections
Jérôme LelongAntonino Zanette. Tree methods
Rama Cont. Encyclopedia of Quantitative Finance, John Wiley & Sons, Ltd., 7 p., 2010, ⟨10.1002/9780470061602.eqf12017⟩
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hal-00448864v2  Journal articles
Bernard LapeyreJérôme Lelong. A framework for adaptive Monte-Carlo procedures
Monte Carlo Methods and Applications, De Gruyter, 2011, 17 (1), pp.77-98. ⟨10.1515/MCMA.2011.002⟩
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hal-00334697v1  Journal articles
Benjamin JourdainJérôme Lelong. Robust Adaptive Importance Sampling for Normal Random Vectors
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2009, 19 (5), pp.1687-1718. ⟨10.1214/09-AAP595⟩
hal-01963216v1  Journal articles
Éric GaussierJérôme LelongValentin ReisDenis Trystram. Online Tuning of EASY-Backfilling using Queue Reordering Policies
IEEE Transactions on Parallel and Distributed Systems, Institute of Electrical and Electronics Engineers, 2018, 29 (10), pp.2304-2316. ⟨10.1109/TPDS.2018.2820699⟩
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hal-00414280v2  Journal articles
Aurélien AlfonsiJérôme Lelong. A closed-form extension to the Black-Cox model
International Journal of Theoretical and Applied Finance, World Scientific Publishing, 2012, 15 (8), pp.1250053:1-30. ⟨10.1142/S0219024912500537⟩
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hal-01299819v3  Journal articles
Jérôme Lelong. Dual pricing of American options by Wiener chaos expansion
SIAM Journal on Financial Mathematics, Society for Industrial and Applied Mathematics 2018, 9 (2), pp.493-519. ⟨10.1137/16M1102161⟩
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hal-00776703v1  Journal articles
Céline LabartJérôme Lelong. Pricing Parisian options using Laplace transforms
Bankers Markets & Investors : an academic & professional review, Groupe Banque, 2009, 99, 24 p
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tel-00201373v1  Theses
Jérôme Lelong. Etude asymptotique des algorithmes stochastiques et calcul des prix des options Parisiennes
Mathématiques [math]. Ecole Nationale des Ponts et Chaussées, 2007. Français
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tel-01612297v2  Habilitation à diriger des recherches
Jérôme Lelong. Quelques contributions aux méthodes numériques probabilistes et à la modélisation stochastique
Probability [math.PR]. UGA - Université Grenoble Alpes, 2017
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hal-01522459v1  Conference papers
Jérôme LelongValentin ReisDenis Trystram. Tuning EASY-Backfilling Queues
21st Workshop on Job Scheduling Strategies for Parallel Processing, May 2017, Orlando, United States. pp.43-61, ⟨10.1007/978-3-319-77398-8_3⟩
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hal-01214840v4  Journal articles
Ahmed KebaierJérôme Lelong. Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation
Methodology and Computing in Applied Probability, Springer Verlag, 2018, 20 (2), pp.611-641. ⟨10.1007/s11009-017-9579-y⟩
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hal-00220470v1  Journal articles
Céline LabartJérôme Lelong. Pricing double barrier Parisian options using Laplace transforms
International Journal of Theoretical and Applied Finance, World Scientific Publishing, 2009, 12 (1), pp.19-44. ⟨10.1142/S0219024909005154⟩