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Celebratio Mathematica

Farid AitSahlia


Bibliography

[1]F. Ait-Sah­lia: Op­tim­al stop­ping and weak con­ver­gence meth­ods for some prob­lems in fin­an­cial eco­nom­ics, 1995. MR 2692731

[2]F. Ait­Sah­lia, E. John­son, and P. Will: “Is con­cur­rent en­gin­eer­ing al­ways a sens­ible pro­pos­i­tion?,” IEEE Trans­ac­tions on En­gin­eer­ing Man­age­ment 42 (1995), pp. 166–​170.

[3]F. Ait­Sah­lia and P. Carr: “Amer­ic­an op­tions: a com­par­is­on of nu­mer­ic­al meth­ods,” pp. 67–​87 in Nu­mer­ic­al meth­ods in fin­ance. Publ. New­ton Inst. Cam­bridge Univ. Press, 1997. MR 1470509 Zbl 0898.​90028

[4]F. Ait­Sah­lia and T. L. Lai: “Valu­ation of dis­crete bar­ri­er and hind­sight op­tions,” J. Fin­an­cial En­gin­eer­ing 6 (1997), pp. 169–​177.

[5]F. Ait­Sah­lia and T. L. Lai: “Ran­dom walk du­al­ity and the valu­ation of dis­crete look­back op­tions,” Ap­plied Math­em­at­ic­al Fin­ance 5 (1998), pp. 277–​340.

[6]F. Ait­Sah­lia and T. L. Lai: “A ca­non­ic­al op­tim­al stop­ping prob­lem for Amer­ic­an op­tions and its nu­mer­ic­al solu­tion,” J. Com­pu­ta­tion­al Fin­ance 3 (1999/2000), pp. 33–​52.

[7]F. Ait­Sah­lia and T. L. Lai: “Ex­er­cise bound­ar­ies and ef­fi­cient ap­prox­im­a­tions to Amer­ic­an op­tion prices and hedge para­met­ers,” J. Com­pu­ta­tion­al Fin­ance 4 (2001), pp. 85–​103.

[8]K. L. Chung and F. Ait­Sah­lia: Ele­ment­ary prob­ab­il­ity the­ory: With stochast­ic pro­cesses and an in­tro­duc­tion to math­em­at­ic­al fin­ance, 4th edition. Un­der­gradu­ate Texts in Math­em­at­ics. Spring­er (New York), 2003. MR 1961879 Zbl 1019.​60001 book

[9]F. Ait­Sah­lia, L. Im­hof, and T. L. Lai: “Fast and ac­cur­ate valu­ation of Amer­ic­an bar­ri­er op­tions,” J. Com­pu­ta­tion­al Fin­ance 7 (2003), pp. 129–​145.

[10]F. Ait­Sah­lia, L. Im­hof, and T. L. Lai: “Pri­cing and hedging Amer­ic­an knock-in op­tions,” J. of De­riv­at­ives 11 (2004), pp. 44–​50.

[11]T. L. Lai, Y.-C. Yao, and F. Ait­sah­lia: “Cor­rec­ted ran­dom walk ap­prox­im­a­tions to free bound­ary prob­lems in op­tim­al stop­ping,” Adv. in Ap­pl. Probab. 39 : 3 (2007), pp. 753–​775. MR 2357380 Zbl 1127.​60038

[12]F. Ait­Sah­lia and A. Run­nemo: “A ca­non­ic­al op­tim­al stop­ping prob­lem for Amer­ic­an op­tions un­der a double-ex­po­nen­tial jump-dif­fu­sion mod­el,” Journ­al of Risk 10 (2007), pp. 85–​100.

[13]F. Ait­Sah­lia, Y.-C. Sheu, and P. M. Pardalos: “Op­tim­al ex­e­cu­tion of time-con­strained port­fo­lio trans­ac­tions” in Com­pu­ta­tion­al meth­ods in fin­an­cial en­gin­eer­ing. Edi­ted by E. J. Konthoghi­orges, B. Rustem, and P. Winker. Spring­er, 2008.

[14]F. Ait­Sah­lia: “Stochast­ic op­tim­al stop­ping: Prob­lem for­mu­la­tions” in En­cyc­lo­pe­dia of op­tim­iz­a­tion. Edi­ted by C. A. Flou­das and P. M. Pardalos. Spring­er, 2009.

[15]F. Ait­Sah­lia: “Stochast­ic op­tim­al stop­ping: Nu­mer­ic­al meth­ods” in En­cyc­lo­pe­dia of op­tim­iz­a­tion. Edi­ted by C. A. Flou­das and P. M. Pardalos. Spring­er, 2009.

[16]F. Ait­Sah­lia, M. Gos­wami, and S. Guha: “Amer­ic­an op­tion pri­cing un­der stochast­ic volat­il­ity: an ef­fi­cient nu­mer­ic­al ap­proach,” Com­put. Man­ag. Sci. 7 : 2 (2010), pp. 171–​187. MR 2602978 Zbl 1186.​91203

[17]F. Ait­Sah­lia, M. Gos­wami, and S. Guha: “Amer­ic­an op­tion pri­cing un­der stochast­ic volat­il­ity: an em­pir­ic­al eval­u­ation,” Com­put. Man­ag. Sci. 7 : 2 (2010), pp. 189–​206. MR 2602979 Zbl 1186.​91204

[18]F. Ait­Sah­lia: “Dis­cretely mon­itored op­tions” in En­cyc­lo­pe­dia of quant­it­at­ive fin­ance. Edi­ted by R. Cont. Wiley, 2010.

[19]F. Ait­Sah­lia, C.-J. Wang, V. E. Cab­rera, S. Ury­a­sev, and C. W. Fraisse: “Op­tim­al crop plant­ing sched­ules and fin­an­cial hedging strategies un­der EN­SO-based cli­mate fore­casts,” Ann. Op­er. Res. 190 (2011), pp. 201–​220. MR 2842834 Zbl 1233.​90146