Michielon, M., Franquinho, D., Gentile, A., Khedher, A., & Spreij, P. (2024). Neural network empowered liquidity pricing in a two-price economy under conic finance settings. Quantitative Finance, 24(8), 1129-1156. https://doi.org/10.1080/14697688.2024.2390947
Michielon, M., Khedher, A., & Spreij, P. (2023). On Wasserstein distances, barycenters, and the cross-section methodology for proxy credit curves. International Journal of Financial Engineering, 10( 2), Article 2250037. https://doi.org/10.1142/S2424786322500372[details]
2022
Cox, S., Karbach, S., & Khedher, A. (2022). Affine pure-jump processes on positive Hilbert–Schmidt operators. Stochastic Processes and their Applications, 151, 191-229. Advance online publication. https://doi.org/10.1016/j.spa.2022.05.008[details]
He, J., Khedher, A., & Spreij, P. J. C. (2021). A Kalman particle filter for online parameter estimation with applications to affine models. Statistical Inference for Stochastic Processes, 24(3), 353-403. https://doi.org/10.1007/s11203-021-09239-3[details]
Michielon, M., Khedher, A., & Spreij, P. (2021). Liquidity-free implied volatilities: an approach using conic finance. International Journal of Financial Engineering, 8(4), Article 2150041. Advance online publication. https://doi.org/10.1142/S2424786321500419[details]
Daveloose, C., Khedher, A., & Vanmaele, M. (2019). Representations for conditional expectations and applications to pricing and hedging of financial products in Levy and jump-diffusion setting. Stochastic Analysis and Applications, 37(2), 281-319. https://doi.org/10.1080/07362994.2018.1561306[details]
Sun, X., Schulz, T., Khedher, A., & Vanmaele, M. (2017). Model risk and discretisation of locally risk-minimising strategies. Journal of Computational and Applied Mathematics, 311, 38-53. https://doi.org/10.1016/j.cam.2016.07.009[details]
2016
Daveloose, C., Khedher, A., & Vanmaele, M. (2016). Robustness of quadratic hedging strategies in finance via Fourier transforms. Journal of Computational and Applied Mathematics, 296, 56-88. https://doi.org/10.1016/j.cam.2015.09.005[details]
Khedher, A., & Vanmaele, M. (2016). Discretisation of FBSDEs driven by càdlàg martingales. Journal of Mathematical Analysis and Applications, 435(1), 508-531. https://doi.org/10.1016/j.jmaa.2015.10.022[details]
2024
Michielon, M. (2024). Applied topics in conic finance and credit risk. [Thesis, fully internal, Universiteit van Amsterdam]. [details]
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