Group for Research in Decision Analysis

Amal Ben Abdellah

Student (Ph.D.), GERAD

Education

since Jan 2015
Ph.D. Méthodes quasi-Monte Carlo pour chaines de Markov
Université de Montréal – Department of Computer Science and Operations Research, Pierre L'Ecuyer, director

Cahiers du GERAD

Publications

Density estimation by Randomized Quasi-Monte Carlo
, , , and
To appear in: SIAM Journal on Uncertainty Quantification, 2020 BibTeX reference
Array-RQMC for option pricing under stochastic volatility models
, , and
Proceedings of the 2019 Winter Simulation Conference, IEEE Press, 440–451, 2019 BibTeX reference