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Publications
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"A stochastic quantization method for nonlinear problems",
Monte Carlo Methods and Applications, vol. 7(1), pp. 21-34, 2001.
Abstract
"A space quantization method for numerical integration",
J. Comput. Appl. Math., vol. 89, no. 1, Amsterdam, The Netherlands, Elsevier Science Publishers B. V., pp. 1–38, 1998.
Abstract
"Sharp asymptotics of the Kolmogorov entropy for Gaussian measures",
Journal of Functional Analysis, vol. 212, no. 1, pp. 89 - 120, 2004.
Abstract
Sharp asymptotics of the functional quantization problem for Gaussian processes,
, vol. 32, no. 2, 2004.
Abstract
"A quantization tree method for pricing and hedging multidimensional American options",
Mathematical Finance, vol. 15, no. 1, pp. 119-168, 2005.
Abstract
Download: Quantization-Tree.pdf (483.24 KB)
"Quantization of probability distributions under norm-based distortion measures II: Self-similar distributions",
Journal of Mathematical Analysis and Applications, vol. 318, no. 2, pp. 507 - 516, 2006.
Abstract
"A quantization algorithm for solving multidimensional optimal stopping problems, preprint",
University de Paris VI, pp. 1003–1049, 2001.
Abstract
"Pricing path-dependent options using optimized functional quantization",
Numerical Methods in Finance, 2006.
Download: Pricing Path Dependent Option Using Functional Quantization.pdf (762.71 KB)
"Optimal quantizers for Radon random vectors in a Banach space",
J. Approx. Theory, vol. 144, no. 1, Orlando, FL, USA, Academic Press, Inc., pp. 27–53, 2007.
Abstract
"Optimal quantization methods for nonlinear filtering with discrete-time observations",
Bernoulli, vol. 11(5), 2005.
Abstract
"Optimal quantization for the pricing of swing options",
Applied Mathematical Finance, vol. 16, issue 2, pp. 183-217, 2009.
Abstract
"Optimal quantization for Finance: from random vectors to stochastic processes",
Handbook of Numerical Analysis, vol. 15, 2008.
Abstract
Download: Handbook_2008_Quantization_in_finance.pdf (478.77 KB)
"Optimal quadratic quantization for numerics: the Gaussian case",
Monte Carlo Methods and Applications, vol. 9, pp. 135–166, 2003.
Abstract
Download: Gaussian Case.pdf (563.34 KB)
"An optimal Markovian quantization algorithm for multidimensional stochastic control problems",
Stochastics and Dynamics, vol. 4(4), pp. 501-545, 2004.
Abstract
"Méthodes de quantification optimale pour le filtrage et applications à la finance",
Applied mathematics: Université Paris Dauphine, 2005.
Abstract
Download: PhD_AfefSELLAMI.pdf (1.35 MB)Introduction_Sellami.pdf (248.72 KB)
"Local distortion and µ-mass of the cells of one dimensional asymptotically optimal quantizers",
Communications in Statistics. Theory and Methods, vol. 33(5), 2004.
Abstract
Intrinsic stationarity for vector quantization: Foundation of dual quantization,
, 2010.
Abstract
Download: Foundation of dual quantization.pdf (962.7 KB)