Jérôme Lelong

According to our database, Jérôme Lelong authored at least 10 papers between 2011 and 2023.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2023

Pricing Bermudan Options Using Regression Trees/Random Forests.

Zineb El Filali Ech-Chafiq, Pierre Henry-Labordère, Jérôme Lelong

SIAM J. Financial Math., December, 2023

2021

Neural network regression for Bermudan option pricing.

Bernard Lapeyre, Jérôme Lelong

Monte Carlo Methods Appl., 2021

Automatic control variates for option pricing using neural networks.

Zineb El Filali Ech-Chafiq, Jérôme Lelong, Adil Reghai

Monte Carlo Methods Appl., 2021

2018

Online Tuning of EASY-Backfilling using Queue Reordering Policies.

Éric Gaussier, Jérôme Lelong, Valentin Reis, Denis Trystram

IEEE Trans. Parallel Distributed Syst., 2018

Dual Pricing of American Options by Wiener Chaos Expansion.

Jérôme Lelong

SIAM J. Financial Math., 2018

2017

Tuning EASY-Backfilling Queues.

Jérôme Lelong, Valentin Reis, Denis Trystram

Proceedings of the Job Scheduling Strategies for Parallel Processing, 2017

2014

Using Premia and Nsp for constructing a risk management benchmark for testing parallel architecture.

Jean-Philippe Chancelier, Bernard Lapeyre, Jérôme Lelong

Concurr. Comput. Pract. Exp., 2014

2013

A parallel algorithm for solving BSDEs.

Céline Labart, Jérôme Lelong

Monte Carlo Methods Appl., 2013

2011

A framework for adaptive Monte Carlo procedures.

Bernard Lapeyre, Jérôme Lelong

Monte Carlo Methods Appl., 2011

A Parallel Algorithm for solving BSDEs - Application to the pricing and hedging of American options

Céline Labart, Jérôme Lelong

CoRR, 2011