Jérôme Lelong

12 papers A 1C 1Journal 10
YearRankTypeTitle / Venue / Authors
2023 J jnl
Pricing Bermudan Options Using Regression Trees/Random Forests.
SIAM J. Financial Math.
Zineb El Filali Ech-Chafiq, Pierre Henry-Labordère, Jérôme Lelong
2021 J jnl
Automatic control variates for option pricing using neural networks.
Monte Carlo Methods Appl.
Zineb El Filali Ech-Chafiq, Jérôme Lelong, Adil Reghai
2021 J jnl
Neural network regression for Bermudan option pricing.
Monte Carlo Methods Appl.
Bernard Lapeyre, Jérôme Lelong
2018 J jnl
Dual Pricing of American Options by Wiener Chaos Expansion.
SIAM J. Financial Math.
Jérôme Lelong
2018 J jnl
Online Tuning of EASY-Backfilling using Queue Reordering Policies.
IEEE Trans. Parallel Distributed Syst.
Éric Gaussier, Jérôme Lelong, Valentin Reis, Denis Trystram
2017 C conf
Tuning EASY-Backfilling Queues.
JSSPP
Jérôme Lelong, Valentin Reis, Denis Trystram
2014 J jnl
Using Premia and Nsp for constructing a risk management benchmark for testing parallel architecture.
Concurr. Comput. Pract. Exp.
Jean-Philippe Chancelier, Bernard Lapeyre, Jérôme Lelong
2013 J jnl
A parallel algorithm for solving BSDEs.
Monte Carlo Methods Appl.
Céline Labart, Jérôme Lelong
2011 J jnl
A Parallel Algorithm for solving BSDEs - Application to the pricing and hedging of American options
CoRR
Céline Labart, Jérôme Lelong
2011 J jnl
A framework for adaptive Monte Carlo procedures.
Monte Carlo Methods Appl.
Bernard Lapeyre, Jérôme Lelong
2010 J jnl
Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture
CoRR
Jean-Philippe Chancelier, Jérôme Lelong, Bernard Lapeyre
2009 A conf
Using Premia and Nsp for constructing a risk management benchmark for testing parallel architecture.
IPDPS
Jean-Philippe Chancelier, Bernard Lapeyre, Jérôme Lelong