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ORCIDJérôme Lelong
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Journal Articles
- 2023
[j8]Zineb El Filali Ech-Chafiq
, Pierre Henry-Labordère, Jérôme Lelong:
Pricing Bermudan Options Using Regression Trees/Random Forests. SIAM J. Financial Math. 14(4): 1113-1139 (2023)- 2021
- [j7]Zineb El Filali Ech-Chafiq, Jérôme Lelong, Adil Reghai:
Automatic control variates for option pricing using neural networks. Monte Carlo Methods Appl. 27(2): 91-104 (2021) - [j6]Bernard Lapeyre, Jérôme Lelong:
Neural network regression for Bermudan option pricing. Monte Carlo Methods Appl. 27(3): 227-247 (2021) - 2018
- [j5]Jérôme Lelong:
Dual Pricing of American Options by Wiener Chaos Expansion. SIAM J. Financial Math. 9(2): 493-519 (2018) - [j4]Éric Gaussier, Jérôme Lelong, Valentin Reis, Denis Trystram:
Online Tuning of EASY-Backfilling using Queue Reordering Policies. IEEE Trans. Parallel Distributed Syst. 29(10): 2304-2316 (2018) - 2014
- [j3]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): 1654-1665 (2014) - 2013
- [j2]Céline Labart, Jérôme Lelong:
A parallel algorithm for solving BSDEs. Monte Carlo Methods Appl. 19(1): 11-39 (2013) - 2011
- [j1]Bernard Lapeyre, Jérôme Lelong:
A framework for adaptive Monte Carlo procedures. Monte Carlo Methods Appl. 17(1): 77-98 (2011)
Conference and Workshop Papers
- 2017
- [c2]Jérôme Lelong, Valentin Reis, Denis Trystram:
Tuning EASY-Backfilling Queues. JSSPP 2017: 43-61 - 2009
- [c1]Jean-Philippe Chancelier, Bernard Lapeyre, Jérôme Lelong:
Using Premia and Nsp for constructing a risk management benchmark for testing parallel architecture. IPDPS 2009: 1-6
Informal and Other Publications
- 2011
- [i2]Céline Labart, Jérôme Lelong:
A Parallel Algorithm for solving BSDEs - Application to the pricing and hedging of American options. CoRR abs/1102.4666 (2011) - 2010
- [i1]Jean-Philippe Chancelier, Jérôme Lelong, Bernard Lapeyre:
Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture. CoRR abs/1001.3213 (2010)
Coauthor Index
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