Emmanuel Gobet

A regression-based Monte Carlo method to solve backward stochastic differential equations

Emmanuel Gobet, Jean-Philippe Lemor, Xavier Warin · The Annals of Applied Probability · 2005 · 421 citations · Full text

Business, Economics, Finance +17

Weak approximation of killed diffusion using Euler schemes

Emmanuel Gobet · Stochastic Processes and their Applications · 2000 · 192 citations

Natural Sciences, Mathematics, Physics +12

Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations

Jean-Philippe Lemor, Emmanuel Gobet, Xavier Warin · Bernoulli · 2006 · 172 citations · Full text

Engineering, Finance, Financial Economics +16

Time Dependent Heston Model

Eric Benhamou, Emmanuel Gobet, Mohammed Miri · SIAM Journal on Financial Mathematics · 2010 · 155 citations · Full text

Business, Economics, Finance +17

Error expansion for the discretization of backward stochastic differential equations

Emmanuel Gobet, Céline Labart · Stochastic Processes and their Applications · 2006 · 100 citations · Full text

Engineering, Mathematics, Differential Equations +13