====== Abass Sagna ====== {{:members:asagna:photoabass3.jpg?150|}} 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 \\ \\ \\ Principaux Thèmes de Recherche

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 .

    • Livre

    Enseignements
  • Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise: ENSIIE
  • Université d'Evry Val-d'Essonne: UEVE
  • TELECOM SudParis (Evry): TSP

    • ===== Documents à télécharger (ENSIIE)===== - Cours Méthodes de Simulation - Chapitre 1: Simulation of random variables {{:members:asagna:nombresaleatoires.pdf|Slide Cours}} et {{:members:asagna:tp1-methodesdesimulation.pdf|Feuille de TP}} - Chapitre 2: Monte Carlo integration {{:members:asagna:mc-importantsampling.pdf|Slide Cours}} et {{:members:asagna:tp2-methodesdesimulation.pdf|Feuille de TP}} - Chapitre 3: Markov chains Monte Carlo methods {{:members:asagna:markocchain-mc.pdf|Slide Cours}} et {{:members:asagna:tp3-methodesdesimulation.pdf|Feuille de TP}} ===== Documents à télécharger (L2 Maths-Info)===== * Slide cours 1: Probabilité {{:members:asagna:slideec322_proba.pdf|Télécharger}} * Slide cours 2: Probabilité conditionnelle {{:members:asagna:slideec322_probacond.pdf|Télécharger}} * Slide cours 3: Variables aléatoires discrètes {{:members:asagna:slideecm322_varaleadisc.pdf|Télécharger}} * Slide cours 4: Variables aléatoires continues {{:members:asagna:slideecm322_varaleacont.pdf|Télécharger}} * Slide cours 5: Couple de v.a. discrètes {{:members:asagna:slideecm322_couples.pdf|Télécharger}} * Slide cours 6: Couple de v.a. continues {{:members:asagna:slideecm322_couplesc.pdf|Télécharger}} * Feuille de TD1 {{:members:asagna:ec322_serie1.pdf|Télécharger}} * Feuille de TD2 {{:members:asagna:ec322_serie2.pdf|Télécharger}} * Feuille de TD3 {{:members:asagna:ec322_serie3.pdf|Télécharger}} * Feuille de TD4 {{:members:asagna:ec322_serie4.pdf|Télécharger}} * Feuille de TD5 {{:members:asagna:ec322_serie5.pdf|Télécharger}} * Examen 2015, corrigé {{:members:asagna:exam_ec322_2014-15.pdf|Télécharger}} * Epreuves Partiel et Rattrapage 2016-2017 {{:members:asagna:partiel2016-17.pdf|Télécharger}} * Epreuves Partiel et Rattrapage 2017-2018 {{:members:asagna:partiel2017-18.pdf|Télécharger}} * Projet Simulation {{:members:asagna:projetec322.pdf|Télécharger}}.