Concepedia

Jérôme Lelong

JL

10

Publications

188

Citations

10

H-Index

2008

Active since

Affiliations

CERMICS(Current)

Université Grenoble Alpes

Laboratoire Jean Kuntzmann

Centre National de la Recherche Scientifique

Laboratoire de Mathématiques Blaise Pascal

Jérôme Lelong is an author at CERMICS specializing in engineering, option pricing, and computer science.

Top concepts

EngineeringOption PricingComputer ScienceApproximation TheoryStatisticsOperations ResearchStatistical InferenceStochastic OptimizationCombinatorial OptimizationFinance

Publications per year

2008–2021

10

Publications

10

PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS

Céline Labart, Jérôme Lelong · International Journal of Theoretical and Applied Finance · 2009 · 30 citations · Full text

Dirichlet Form, Option Pricing, Maturity Time +6

Online Tuning of EASY-Backfilling using Queue Reordering Policies

Éric Gaussier, Jérôme Lelong, Valentin Reis et al. · IEEE Transactions on Parallel and Distributed Systems · 2018 · 27 citations

Engineering, Dynamic Resource Allocation, Easy Heuristic +17

A framework for adaptive Monte Carlo procedures

Bernard Lapeyre, Jérôme Lelong · HAL (Le Centre pour la Communication Scientifique Directe) · 2011 · 24 citations

Engineering, Monte Carlo Methods, Financial Derivatives +16

Almost sure convergence of randomly truncated stochastic algorithms under verifiable conditions

Jérôme Lelong · Statistics & Probability Letters · 2008 · 21 citations · Full text

Engineering, Stochastic Optimization, Stochastic Processes +8

Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation

Ahmed Kebaier, Jérôme Lelong · Methodology And Computing In Applied Probability · 2017 · 20 citations · Full text

Monte Carlo, Multilevel Monte Carlo, Monte Carlo Method +7

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