Ahmed Kebaier

Centre National de la Recherche Scientifique — France

Economics, Econometrics and Finance · Social Sciences

8h-index270citations60works0.32yr avg
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Research Topics

Stochastic processes and financial applications(45), Financial Risk and Volatility Modeling(19), Stochastic processes and statistical mechanics(17), Probability and Risk Models(11), Mathematical Approximation and Integration(11)

Publications60 total

Data-driven uncertainty quantification for constrained stochastic differential equations and application to solar photovoltaic power forecast data
Statistics and Computing·2025· 1 citedOpen Access
Asymptotic Behavior of a Multilevel Type Error for SDEs Driven by a Pure Jump Lévy Process
Theory of Probability and Its Applications·2025
Local asymptotic properties for the growth rate of a jump-type CIR process
Stochastic Processes and their Applications·2025
A Pure Dual Approach for Hedging Bermudan Options
Mathematical Finance·2025Open Access
Asymptotic behavior of a multilevel type error for SDEs driven by a pure jump Levy process
Теория вероятностей и ее применения·2025
Financial Stochastic Models Diffusion: From Risk-Neutral to Real-World Measure
arXiv (Cornell University)·2024· 1 citedOpen Access
Credit Spreads' Term Structure: Stochastic Modeling with CIR++ Intensity
arXiv (Cornell University)·2024Open Access
A pure dual approach for hedging Bermudan options
arXiv (Cornell University)·2024Open Access
Approximation of Stochastic Volterra Equations with kernels of completely monotone type
Mathematics of Computation·2023· 18 citedOpen Access
Data-driven uncertainty quantification for constrained stochastic differential equations and application to solar photovoltaic power forecast data
arXiv (Cornell University)·2023· 1 citedOpen Access
Interpolated Drift Implicit Euler MLMC Method for Barrier Option Pricing and application to CIR and CEV Models
arXiv (Cornell University)·2022· 1 citedOpen Access
Adaptive importance sampling for multilevel Monte Carlo Euler method
Stochastics·2022· 3 cited
Central limit theorem for the antithetic multilevel Monte Carlo method
The Annals of Applied Probability·2022· 2 cited
Deep Calibration of Interest Rates Model
arXiv (Cornell University)·2021· 1 citedOpen Access
Quantifying uncertainty with a derivative tracking SDE model and application to wind power forecast data
Statistics and Computing·2021Open Access
Asymptotic behavior of the multilevel type error for SDEs driven by a pure jump Lévy process
arXiv (Cornell University)·2021Open Access
Approximation of Stochastic Volterra Equations with kernels of completely monotone type
arXiv (Cornell University)·2021· 7 citedOpen Access
Local asymptotic properties for Cox‐Ingersoll‐Ross process with discrete observations
Scandinavian Journal of Statistics·2020· 7 cited
A Derivative Tracking Model for Wind Power Forecast Error
King Abdullah University of Science and Technology Repository (King Abdullah University of Science and Technology)·2020Open Access
Quantifying Uncertainty with a Derivative Tracking SDE Model and\n Application to Wind Power Forecast Data
arXiv (Cornell University)·2020· 8 citedOpen Access
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Frequent Co-authors

Mohamed Ben Alaya(31), Gyula Pap(8), Mátyás Barczy(7), Kaouther Hajji(7), Aurélien Alfonsi(6), Jérôme Lelong(5), Marco Scavino(4), Raúl Tempone(4), Ngoc Khue Tran(4), Thi Bao Trâm Ngô(4), Renzo Caballero(2), Faouzi Chaâbane(2), Khaoula Ben Chaabane(2), Djibril Sarr(2), Benjamin Jourdain(2), Arturo Kohatsu‐Higa(1), Hamdi Fathallah(1), Mouna Ben Derouich(1), Trâm Thi-Bao Ngô(1), Clément Rey(1)