Maître de conférences
Université d'Évry Val d'Essonne
Laboratoire de Mathématiques et Modélisation d'Évry (UMR 8071)
I.B.G.B.I., 23 Bd. de France, 91037 Évry Cedex
Bureau : 413
☎ +33 (0) 1 64 85 3501 abass.sagna@ensiie.fr
Principaux Thèmes de Recherche
Quantification Optimale
Finance Quantitative
Probabilités Numériques
Publications
(with Cheikh MBAYE and Frédéric Vrins). A general firm-value model under partial information. Journal of computational Finance , 22 (1), (2022)
(with G. Pagès). Weak and strong error analysis of recursive quantization: a general approach with an application to jump diffusions. IMA Journal of Numerical Analysis , 41 (4), 2668-2707, (2021): Link .
( with L. FIORIN and G. Pagès ). Markovian and product quantization of an R^d-valued Euler scheme of a diffusion process with applications to finance. Methodol Comput Appl Probab , (2019) 21: Link .
(with G. Pagès). Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering. Stochastic Processes and their Applications , 128, 847-883, (2018): Link .
(with G. Pagès). Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process. Applied Mathematical Finance , 22(15), 463-498 (2015): Link .
(with C. PROFETA). Conditional hitting time estimation in nonlinear filtering model by Brownian Bridge method. Stochastics An International Journal of Probability and Stochastic , 87(1),112-141 (2015): Link .
(with G., CALLEGARO). An application to credit risk of a hybrid Monte Carlo-optimal quantization method. The Journal of Computational Finance , 16, 123-156, (2013): Link .
(with N. FRIKHA). Quantization based recursive Importance Sampling. Monte Carlo Methods and Applications , 18, 287-326 (2012): Link .
A. SAGNA Pricing of barrier options by marginal functional quantization method. Monte Carlo Methods and Applications , 17(4), 371-398 (2012): Link .
(with G. Pagès) Asymptotics of the maximal radius of an $L^r$-optimal sequence of quantizers. Bernoulli , 18(1), 360-389 (2012: Link .
A. SAGNA. Universal $L^s$-rate-optimality of L^r-optimal sequence of quantizers by dilatation and contraction. ESAIM PS , 13, 218-246 (2009): Link .