Dr. A. (Asma) Khedher
Faculty of Science
KDV
Visiting address
- Science Park 107
- Room number: F3.36
Postal address
- Postbus 94248
1090 GE Amsterdam
Contact details
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Publications
2022
Cox, S., Karbach, S., & Khedher, A. (2022). Affine pure-jump processes on positive Hilbert–Schmidt operators. Stochastic Processes and their Applications, 151, 191-229. Advance online publication. https://doi.org/10.1016/j.spa.2022.05.008 [details]- Cox, S., Karbach, S., & Khedher, A. (2022). An infinite-dimensional affine stochastic volatility model. Mathematical Finance, 32(3), 878-906. Advance online publication. https://doi.org/10.1111/mafi.12347 [details]
- Michielon, M., Khedher, A., & Spreij, P. (2022). Proxying credit curves via Wasserstein distances. Annals of Operations Research. Advance online publication. https://doi.org/10.1007/s10479-022-04552-3
2021
- He, J., Khedher, A., & Spreij, P. J. C. (2021). A Kalman particle filter for online parameter estimation with applications to affine models. Statistical Inference for Stochastic Processes, 24(3), 353-403. https://doi.org/10.1007/s11203-021-09239-3 [details]
- Michielon, M., Khedher, A., & Spreij, P. (2021). From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations. International Journal of Theoretical and Applied Finance, 24(3), Article 2150017. https://doi.org/10.48550/arXiv.2108.06578, https://doi.org/10.1142/S0219024921500175 [details]
- Michielon, M., Khedher, A., & Spreij, P. (2021). Liquidity-free implied volatilities: an approach using conic finance. International Journal of Financial Engineering, 8(4), Article 2150041. Advance online publication. https://doi.org/10.1142/S2424786321500419 [details]
2020
- Benth, F. E., Khedher, A., & Vanmaele, M. (2020). Pricing of commodity derivatives on processes with memory. Risks, 8(1), Article 8. https://doi.org/10.3390/risks8010008 [details]
2019
- Daveloose, C., Khedher, A., & Vanmaele, M. (2019). Representations for conditional expectations and applications to pricing and hedging of financial products in Levy and jump-diffusion setting. Stochastic Analysis and Applications, 37(2), 281-319. https://doi.org/10.1080/07362994.2018.1561306 [details]
2017
- Sun, X., Schulz, T., Khedher, A., & Vanmaele, M. (2017). Model risk and discretisation of locally risk-minimising strategies. Journal of Computational and Applied Mathematics, 311, 38-53. https://doi.org/10.1016/j.cam.2016.07.009 [details]
2016
- Daveloose, C., Khedher, A., & Vanmaele, M. (2016). Robustness of quadratic hedging strategies in finance via Fourier transforms. Journal of Computational and Applied Mathematics, 296, 56-88. https://doi.org/10.1016/j.cam.2015.09.005 [details]
- Khedher, A., & Vanmaele, M. (2016). Discretisation of FBSDEs driven by càdlàg martingales. Journal of Mathematical Analysis and Applications, 435(1), 508-531. https://doi.org/10.1016/j.jmaa.2015.10.022 [details]
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Ancillary activities
- No ancillary activities
Cox, S., Karbach, S., & Khedher, A. (2022). Affine pure-jump processes on positive Hilbert–Schmidt operators. Stochastic Processes and their Applications, 151, 191-229. Advance online publication.