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Mhamed Eddahbi

Professor

Faculty

كلية العلوم
Department of Mathematics, College of Sciences, King Saud University, Building 4, second floor, Office Nu. 2B65, PO. Box 2455 Riyadh, Z.C. 11451
المنشورات
مقال فى مجلة
2016
تم النشر فى:

Computation of Greeks in LIBOR models driven by time-inhomogeneous Lévy processes

Eddahbi, M. . 2016

The aim of this paper is to compute Greeks, i.e. price sensitivities in the framework of
the Lévy LIBOR model (LLM) which was introduced in Eberlein and Özkan (2005). Two approaches
are discussed. The first approach is based on the integration–by–parts formula, which lies at the core
of the application of the Malliavin calculus to finance as developed in Fournié et al. (1999). The
second approach consists in using Fourier based methods for pricing derivatives. A recent survey on
these methods is presented in Eberlein (2014). We illustrate the result by applying the formula to
a caplet price where the underlying model is driven by a time–inhomogeneous Gamma process and
alternatively by a Variance Gamma process. A comparison between the two approaches which come
from totally different mathematical fields is made.

نوع عمل المنشور
Research paper
رقم المجلد
23
رقم الانشاء
3
الصفحات
236 to 260
مزيد من المنشورات
publications

This paper deals with numerical analysis of solutions to stochastic differential equations
with jumps (SDEJs) with measurable drifts that may have quadratic growth. The main tool used is…

بواسطة M. Siddiqui, M. Eddahbi, O. Kebiri
2023
تم النشر فى:
MDPI: Mathematics
publications

In this paper we are interested in solving numerically quadratic SDEs with non-necessary continuous drift of the from
\begin{equation*}
X_{t}=x+\int_{0}^{t}b(s,X_{s})ds+\int_{0}^{t}f(…

بواسطة M. Eddahbi, L. Mchiri, M. Rhaima
2022
تم النشر فى:
Filomat
publications

We study both Malliavin regularity and numerical approximation schemes for a class of quadratic backward stochastic

بواسطة Doubbakh, S.; Eddahbi, M.; Khelfallah, N.; Almualim, A.
2023
تم النشر فى:
Axioms