| American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics A Agarwal, S Juneja, R Sircar Quantitative Finance 16 (1), 17-30, 2016 | 32 | 2016 |
| Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements A Agarwal, S De Marco, E Gobet, JG López-Salas, F Noubiagain, A Zhou ESAIM: Proceedings and Surveys 65, 1-26, 2019 | 15 | 2019 |
| Portfolio benchmarking under drawdown constraint and stochastic sharpe ratio A Agarwal, R Sircar SIAM Journal on Financial Mathematics 9 (2), 435-464, 2018 | 14 | 2018 |
| Hedging longevity risk in defined contribution pension schemes A Agarwal, CO Ewald, Y Wang Computational Management Science 20 (1), 11, 2023 | 13 | 2023 |
| Study of new rare event simulation schemes and their application to extreme scenario generation A Agarwal, S De Marco, E Gobet, G Liu Mathematics and Computers in Simulation 143, 89-98, 2018 | 12 | 2018 |
| A Fourier-based Picard-iteration approach for a class of McKean–Vlasov SDEs with Lévy jumps A Agarwal, S Pagliarani Stochastics 93 (4), 592-624, 2021 | 11 | 2021 |
| Branching diffusion representation of semi-linear elliptic PDEs and estimation using Monte Carlo method A Agarwal, J Claisse Stochastic Processes and their Applications 130 (8), 5006-5036, 2020 | 10 | 2020 |
| Rare event simulation related to financial risks: efficient estimation and sensitivity analysis A Agarwal, S De Marco, E Gobet, G Liu | 10 | 2017 |
| The implied Sharpe ratio A Agarwal, M Lorig Quantitative finance 20 (6), 1009-1026, 2020 | 9 | 2020 |
| Comparing optimal convergence rate of stochastic mesh and least squares method for bermudan option pricing A Agarwal, S Juneja 2013 Winter Simulations Conference (WSC), 701-712, 2013 | 9 | 2013 |
| Finite variance unbiased estimation of stochastic differential equations A Agarwal, E Gobet 2017 Winter Simulation Conference (WSC), 1950-1961, 2017 | 8 | 2017 |
| Numerical approximation of McKean-Vlasov SDEs via stochastic gradient descent A Agarwal, A Amato, G Reis, S Pagliarani arXiv preprint arXiv:2310.13579, 2023 | 4 | 2023 |
| Penalized estimation of sparse Markov regime-switching vector auto-regressive models G Chavez-Martinez, A Agarwal, A Khalili, SE Ahmed Technometrics 65 (4), 553-563, 2023 | 3 | 2023 |
| Optimal income drawdown and investment with longevity basis risk A Agarwal, CO Ewald, Y Wang Scandinavian Actuarial Journal, 1-38, 2025 | 2* | 2025 |
| An RBSDE based Monte Carlo method for solving optimal stopping problems under parameter uncertainty A Agarwal, CO Ewald, Y Zou Available at SSRN 3549891, 2021 | 2* | 2021 |
| Nearest neighbor based estimation technique for pricing Bermudan options A Agarwal, S Juneja International Game Theory Review 17 (01), 1540002, 2015 | 2 | 2015 |
| Efficient simulation of large deviation events for sums of random vectors using saddle-point representations A Agarwal, S Dey, S Juneja Journal of Applied Probability 50 (3), 703-720, 2013 | 1 | 2013 |
| Robust valuation and optimal harvesting of forestry resources in the presence of catastrophe risk and parameter uncertainty A Agarwal, C Ewald, Y Zou arXiv preprint arXiv:2502.05340, 2025 | | 2025 |
| On the predictive power of food commodity futures prices in forecasting inflation A Agarwal, CO Ewald, S Zhang, Y Zou SSRN: https://ssrn.com/abstract=5050287, 2025 | | 2025 |
| Efficient calibration of the shifted square-root diffusion model to credit default swap spreads using asymptotic approximations A Agarwal, Y Liao arXiv preprint arXiv:2410.02645, 2024 | | 2024 |
Emmanuel GobetEcole PolytechniqueEmail verificata su polytechnique.edu
