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Ahmed KEBAIER

sample 2

Contact


ahmed.kebaier at univ-evry.fr

  • Tél: +33 (0)1 64 85 34 85

  • Fax: +33 (0)1 64 85 36 01

    • Preprints

    1. Ben Alaya, M.; Kebaier, A.; Gyula, Pap & Tran, N. K. Local asymptotic properties for the growth rate of a jump-type CIR process
      Submitted (2019)

    2. Ben Alaya, M.; Kebaier, A. & Ngo, T. Asymptotic behavior of the multilevel type error for SDEs driven by a pure jump Lévy process.
      Submitted (2021)

    3. Ben Derouich, M.; Kebaier, A.; The interpolated drift implicit Euler scheme Multilevel Monte Carlo method for pricing Barrier options and applications to the CIR and CEV models
      Submitted (2024)

    4. Ben Alaya, M.; Kebaier, A. & Sarr, D. Deep Calibration of Interest Rates Model.
      Submitted (2024)


    Published & Accepted Papers

    1. Alfonsi, A. & Kebaier, A. Approximation of Stochastic Volterra Equations with kernels of completely monotone type.
      Mathematic of Computation, no. 346, 643-s677 (2024)

    2. Ben Alaya, M.; Hajji, K. & Kebaier, A. Adaptive Importance Sampling for Multilevel Monte Carlo Euler method.
      Stochastics 95, no. 2, 303-327 (2023)

    3. Ben Alaya, M.; Kebaier, A. & Ngo, T. Central Limit Theorem for the antithetic multilevel Monte Carlo method.
      Ann. Appl. Probab. 32, no. 3, 1970-2027. (2022)

    4. Caballero, R. ; Kebaier, A.; Scavino, M. & Tempone, R. Quantifying Uncertainty with a Derivative Tracking SDE Model and Application to Wind Power Forecast Data.
      Statistics and Computing. 31 no. 5, 64. (2021)

    5. Ben Alaya, M.; Kebaier, A. & Tran, N. K. Local asymptotic properties for Cox-Ingersoll-Ross process with discrete observations.
      Scand. J. Stat. 47. 1401-1464 (2020)

    6. Jourdain, B. & Kebaier, A. Non-asymptotic error bounds for The Multilevel Monte Carlo Euler method applied to SDEs with constant diffusion coefficient.
      Electron. J. Probab. 24, paper no. 12, 34 pp. (2019)

    7. Barczy, M.; Ben Alaya, M.; Kebaier, A. & Pap, G. Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations.
      Statistics. 53, no. 3 (2019)

    8. Barczy, M.; Ben Alaya, M.; Kebaier, A. & Pap, G. Maximum likelihood estimators for a jump-type Heston model.
      J. Statist. Plann. Inference 198, 139-164 (2019)

    9. Kebaier, A. & Lelong, J. Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation.
      Methodol. Comput. Appl. Probab. 20 (2018), no. 2, 611-641. (2018)

    10. Barczy, M.; Ben Alaya, M.; Kebaier, A. & Pap, G. Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations.
      Stochastic Process. Appl. 128 no. 4, 1135-1164. (2018)

    11. Alfonsi, A., Kebaier, A. & Rey, C. Maximum Likelihood Estimation for Wishart processes.
      Stochastic Process. Appl. 126, no. 11, 3243-3282. (2016)

    12. Ben Alaya, M., Hajji K. & Kebaier, A. Importance Sampling and Statistical Romberg Method for Lévy Processes.
      Stochastic Process. Appl. 126, no. 7, 1901-1931. (2016)

    13. Ben Alaya, M., Hajji K. & Kebaier, A. Importance Sampling and Statistical Romberg method.
      Bernoulli 21, no. 4, 1947-1983. (2015)

    14. Ben Alaya, M & Kebaier, A. Central Limit Theorem for the Multilevel Monte Carlo Euler Method.
      Ann. Appl. Probab. 25, no. 1, 211-234. (2015)

    15. Ben Alaya, M. & Kebaier, A. Multilevel Monte Carlo for Asian options and limit theorems.
      Monte Carlo Methods and Applications. 20, no. 3, 181-194. (2014)

    16. Ben Alaya, M. & Kebaier, A. Asymptotic Behavior of the Maximum Likelihood Estimator for Ergodic and Nonergodic Square-Root Diffusions.
      Stochastic Analysis and Applications. Vol. 31, Iss. 4, 552-573. (2013)

    17. Ben Alaya, M. & Kebaier, A. Parameter estimation for the square root diffusions: ergodic and nonergodic cases.
      Sochastic Models. 28, Iss. 4, 609-634. (2012)

    18. Fathallah, H. & Kebaier, A. Weighted Limit Theorems For Continuous-time Vectorial Martingales With Explosive and Mixed Growth and Statistical Applications.
      Stochastic Analysis and Applications. Vol. 3, Iss. 2, 238-257. (2012)

    19. Kebaier, A. & Kohatsu-Higa, A. An optimal control variance reduction method for density estimation.
      Stochastic Process. Appl. 118, no. 12, 2143--2180. (2008)

    20. Chaâbane, F. & Kebaier, A.Théorèomes limites avec poids pour les martingales vectorielles à temps continu .
      ESAIM Probab. Stat. 12, 464--491. (2008)

    21. Kebaier, A. Statistical Romberg Extrapolation: A New Variance Reduction Method and Applications to Option Pricing
      Ann. Appl. Probab. 15, no. 4, 2681--2705. (2005)


    Book chapter



    Thesis and Habilitation thesis

    Former PhD student

    • Dr. Mouna BEN DEROUICH
    • Dr. Thi Bao Trâm NGO
    • Dr. Kaouther HAJJI