Jérôme Lelong

Publication Activity (10 Years)

Years Active: 2009-2023
Publications (10 Years): 6

Top Topics

Risk Management

Parallel Architecture

Top Venues

Monte Carlo Methods Appl.

SIAM J. Financial Math.

Concurr. Comput. Pract. Exp.

Publications

Zineb El Filali Ech-Chafiq, Pierre Henry-Labordère, Jérôme Lelong
Pricing Bermudan Options Using Regression Trees/Random Forests. SIAM J. Financial Math. 14 (4) (2023)
Bernard Lapeyre, Jérôme Lelong
Neural network regression for Bermudan option pricing. Monte Carlo Methods Appl. 27 (3) (2021)
Zineb El Filali Ech-Chafiq, Jérôme Lelong, Adil Reghai
Automatic control variates for option pricing using neural networks. Monte Carlo Methods Appl. 27 (2) (2021)
Éric Gaussier, Jérôme Lelong, Valentin Reis, Denis Trystram
Online Tuning of EASY-Backfilling using Queue Reordering Policies. IEEE Trans. Parallel Distributed Syst. 29 (10) (2018)
Jérôme Lelong
Dual Pricing of American Options by Wiener Chaos Expansion. SIAM J. Financial Math. 9 (2) (2018)
Jérôme Lelong, Valentin Reis, Denis Trystram
Tuning EASY-Backfilling Queues. JSSPP (2017)
Jean-Philippe Chancelier, Bernard Lapeyre, Jérôme Lelong
Using Premia and Nsp for constructing a risk management benchmark for testing parallel architecture. Concurr. Comput. Pract. Exp. 26 (9) (2014)
Céline Labart, Jérôme Lelong
A parallel algorithm for solving BSDEs. Monte Carlo Methods Appl. 19 (1) (2013)
Céline Labart, Jérôme Lelong
A Parallel Algorithm for solving BSDEs - Application to the pricing and hedging of American options CoRR (2011)
Bernard Lapeyre, Jérôme Lelong
A framework for adaptive Monte Carlo procedures. Monte Carlo Methods Appl. 17 (1) (2011)
Jean-Philippe Chancelier, Jérôme Lelong, Bernard Lapeyre
Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture CoRR (2010)
Jean-Philippe Chancelier, Bernard Lapeyre, Jérôme Lelong
Using Premia and Nsp for constructing a risk management benchmark for testing parallel architecture. IPDPS (2009)