Personal website of Mhamed Eddahbi
Announcements
Monday, January 9, 2017 - 21:24
Monday, January 9, 2017 - 21:01
Wednesday, December 28, 2016 - 23:25
A review of probability theory and applications in insurance
A review on Random Variables and their distributions with applications in insurance
Conditional Probability and Conditional...
Chapter I. The Binomial Option Pricing Model
Price options under a one-period binomial model on a nondividend-paying stock by:
applying the principle of no-arbitrage, and identify arbitrage...
In this paper, we study multidimensional generalized BSDEs that have a monotone generator in a general filtration supporting a Brownian motion and an independent Poisson random measure....
We establish a Krylov's type estimate and an Itô-Krylov's change of variable formula for the solutions of one-dimensional quadratic backward stochastic differential equations (QBSDEs) with...
The purpose of this article is to give a closed Fourier-based valuation
formula for a caplet in the framework of the Lévy forward process model which was
introduced in Eberlein and Özkan (...