Emmanuelle Clément

An analysis of a least squares regression method for American option pricing

Emmanuelle Clément, Damien Lamberton, Philip Protter · Finance and Stochastics · 2002 · 352 citations

Econometric Model, Option Pricing, Computational Finance +10

Integration by parts formula and applications to equations with jumps

Vlad Bally, Emmanuelle Clément · Probability Theory and Related Fields · 2010 · 46 citations · Full text

Numerical Analysis, Definite Integral, Parts Formula

A duality approach for the weak approximation of stochastic differential equations

Emmanuelle Clément, Arturo Kohatsu‐Higa, Damien Lamberton · The Annals of Applied Probability · 2006 · 32 citations · Full text

Weak Approximation, Engineering, Variational Analysis +12

An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility

Emmanuelle Clément, Sylvain Delattre, Arnaud Gloter · Stochastic Processes and their Applications · 2013 · 29 citations

Spectral Theory, Volatility Modeling, Multivariate Stochastic Volatility +6

Local Asymptotic Mixed Normality property for discretely observed stochastic differential equations driven by stable Lévy processes

Emmanuelle Clément, Arnaud Gloter · Stochastic Processes and their Applications · 2015 · 27 citations · Full text

Engineering, Stochastic Processes, Stable Lévy Processes +6