Asma Khedher
Asma Khedher
Verified email at uva.nl
Title
Cited by
Cited by
Year
Robustness of option prices and their deltas in markets modeled by jump-diffusions
FE Benth, G Di Nunno, A Khedher
Communications on Stochastic Analysis 5 (2), 285–307, 2011
272011
LÚvy models robustness and sensitivity
FE Benth, G Di Nunno, A Khedher
Quantum Probability And Infinite Dimensional Analysis, 153-184, 2010
142010
Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps
G Di Nunno, A Khedher, M Vanmaele
Applied Mathematics & Optimization 72 (3), 353-389, 2015
132015
A note on convergence of option prices and their Greeks for LÚvy models
FE Benth, GD Nunno, A Khedher
Stochastics An International Journal of Probability and Stochastic Processesá…, 2013
102013
Robustness of quadratic hedging strategies in finance via Fourier transforms
C Daveloose, A Khedher, M Vanmaele
Journal of Computational and Applied Mathematics 296, 56-88, 2016
82016
Pricing of spread options on a bivariate jump market and stability to model risk
FE Benth, G Di Nunno, A Khedher, MD Schmeck
Applied Mathematical Finance 22 (1), 28-62, 2015
82015
Computation of the delta in multidimensional jump-diffusion setting with applications to stochastic volatility models
A Khedher
Stochastic analysis and applications 30 (3), 403-425, 2012
82012
Discretisation of FBSDEs driven by cÓdlÓg martingales
A Khedher, M Vanmaele
Journal of Mathematical Analysis and Applications 435 (1), 508-531, 2016
62016
Weak stationarity of ornstein-uhlenbeck processes with stochastic speed of mean reversion
FE Benth, A Khedher
The Fascination of Probability, Statistics and their Applications, 153-189, 2016
52016
Robustness of option prices and their deltas in markets modelled by jump-diffusions
FE Benth, G Di Nunno, A Khedher
Preprint series. Pure mathematics http://urn. nb. no/URN: NBN: no-8076, 2010
52010
Representations for conditional expectations and applications to pricing and hedging of financial products in LÚvy and jump-diffusion setting
C Daveloose, A Khedher, M Vanmaele
Submitted paper, 2015
42015
Computation of Greeks in multi-factor models with applications to power and commodity markets
FE Benth, G Di Nunno, A Khedher
Preprint series. Pure mathematics http://urn. nb. no/URN: NBN: no-8076, 2010
32010
Representations for conditional expectations and applications to pricing and hedging of financial products in LÚvy and jump-diffusion setting
C Daveloose, A Khedher, M Vanmaele
Stochastic Analysis and Applications 37 (2), 281-319, 2019
22019
Model risk and discretisation of locally risk-minimising strategies
X Sun, T Schulz, A Khedher, M Vanmaele
Journal of Computational and Applied Mathematics 311, 38-53, 2017
12017
Quantification of model risk in quadratic hedging in finance
C Daveloose, A Khedher, M Vanmaele
Stochastics of Environmental and Financial Economics, 211-241, 2016
12016
Sensitivity and robustness to model risk in L┤ evy and jump-diffusion setting
A Khedher
12011
Pricing of commodity derivatives on processes with memory
FE Benth, A Khedher, M Vanmaele
Risks 8 (1), 8, 2020
2020
Utility maximisation and time-change
G Di Nunno, H Haferkorn, A Khedher, M Vanmaele
arXiv preprint arXiv:1912.03202, 2019
2019
A Kalman particle filter for online parameter estimation with applications to affine models
J He, A Khedher, P Spreij
arXiv preprint arXiv:1905.08552, 2019
2019
Pricing of commodity derivatives on processes with memory
F Espen Benth, A Khedher, M Vanmaele
arXiv preprint arXiv:1711.00307, 2017
2017
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Articles 1–20