| Robust adaptive importance sampling for normal random vectors B Jourdain, J Lelong | 59 | 2009 |
| Neural network regression for Bermudan option pricing B Lapeyre, J Lelong Monte Carlo Methods and Applications 27 (3), 227-247, 2021 | 56 | 2021 |
| A framework for adaptive Monte Carlo procedures B Lapeyre, J Lelong Walter de Gruyter GmbH & Co. KG 17 (1), 77-98, 2011 | 40 | 2011 |
| Pricing double barrier Parisian options using Laplace transforms C Labart, J Lelong International Journal of Theoretical and Applied Finance 12 (01), 19-44, 2009 | 39 | 2009 |
| Almost sure convergence of randomly truncated stochastic algorithms under verifiable conditions J Lelong Statistics & Probability Letters 78 (16), 2632-2636, 2008 | 38 | 2008 |
| Coupling importance sampling and multilevel Monte Carlo using sample average approximation A Kebaier, J Lelong Methodology and computing in applied probability 20, 611-641, 2018 | 35 | 2018 |
| Tuning easy-backfilling queues J Lelong, V Reis, D Trystram Job Scheduling Strategies for Parallel Processing: 21st International …, 2018 | 34 | 2018 |
| Online tuning of EASY-backfilling using queue reordering policies E Gaussier, J Lelong, V Reis, D Trystram IEEE Transactions on Parallel and Distributed Systems 29 (10), 2304-2316, 2018 | 33 | 2018 |
| STochastic OPTimization library in C++ H Gevret, N Langrené, J Lelong, RD Lobato, T Ouillon, X Warin, ... EDF Lab, 2018 | 25 | 2018 |
| A parallel algorithm for solving BSDEs C Labart, J Lelong Monte Carlo Methods and Applications 19 (1), 11-39, 2013 | 25 | 2013 |
| Dual pricing of American options by Wiener chaos expansion J Lelong SIAM Journal on Financial Mathematics 9 (2), 493-519, 2018 | 21 | 2018 |
| Pricing Parisian options using Laplace transforms C Labart, J Lelong Bankers Markets & Investors: an academic & professional review 99, 24 pages, 2009 | 15 | 2009 |
| Pricing parisian options C Labart, J Lelong École polytechnique, 2005 | 13 | 2005 |
| Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach J Lelong arXiv preprint arXiv:1901.05672, 2019 | 10 | 2019 |
| Asymptotic normality of randomly truncated stochastic algorithms J Lelong ESAIM: Probability and Statistics 17, 105-119, 2013 | 10 | 2013 |
| A Parallel Algorithm for solving BSDEs-Application to the pricing and hedging of American options C Labart, J Lelong arXiv preprint arXiv:1102.4666, 2011 | 10 | 2011 |
| Etude asymptotique des algorithmes stochastiques et calcul des prix des options Parisiennes J Lelong Ecole Nationale des Ponts et Chaussées, 2007 | 10 | 2007 |
| Stochastic local intensity loss models with interacting particle systems A Alfonsi, C Labart, J Lelong Mathematical Finance 26 (2), 366-394, 2016 | 9 | 2016 |
| Long time behaviour of a stochastic nanoparticle P Etoré, S Labbé, J Lelong Journal of Differential Equations 257 (6), 2115-2135, 2014 | 9 | 2014 |
| Importance sampling for jump processes and applications to finance LB Kassim, J Lelong, I Loumrhari arXiv preprint arXiv:1307.2218, 2013 | 9 | 2013 |
