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Clément Rey
Publication Activity (10 Years)
Years Active: 2017-2022
Publications (10 Years): 4
Top Topics
Metamodel
Image Denoising
Credit Risk
Diffusion Process
Top Venues
Monte Carlo Methods Appl.
SIAM/ASA J. Uncertain. Quantification
SIAM J. Financial Math.
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Publications
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Florian Bourgey
,
Emmanuel Gobet
,
Clément Rey
A Comparative Study of Polynomial-Type Chaos Expansions for Indicator Functions.
SIAM/ASA J. Uncertain. Quantification
10 (4) (2022)
Florian Bourgey
,
Emmanuel Gobet
,
Clément Rey
Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model.
SIAM J. Financial Math.
11 (4) (2020)
Gilles Pagès
,
Clément Rey
Recursive computation of the invariant distributions of Feller processes: Revisited examples and new applications.
Monte Carlo Methods Appl.
25 (1) (2019)
Clément Rey
Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes.
Monte Carlo Methods Appl.
23 (1) (2017)