Publications de Lotfi Boudabsa

Ensemble learning for portfolio valuation and risk management

We introduce an ensemble learning method for dynamic portfolio valuation and risk management building on regression trees. We learn the dynamic value process of a derivative portfolio from a finite sample of its cumulative cash flow. The estimator is given ...

ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD2025

Closed form approximation methods for portfolio valuation and risk management

Lotfi Boudabsa

In this thesis we present three closed form approximation methods for portfolio valuation and risk management. The first chapter is titled ``Kernel methods for portfolio valuation and risk management'', and is a joint work with Damir Filipovi'c (SFI and ...

EPFL2023

Some Properties of the Kilbas-Saigo Function

Thomas Simon, Lotfi Boudabsa

We characterize the complete monotonicity of the Kilbas-Saigo function on the negative half-line. We also provide the exact asymptotics at -infinity, and uniform hyperbolic bounds are derived. The same questions are addressed for the classical Le Roy funct ...

2021

Machine learning with kernels for portfolio valuation and risk management

Damir Filipovic, Lotfi Boudabsa

We introduce a simulation method for dynamic portfolio valuation and risk management building on machine learning with kernels. We learn the dynamic value process of a portfolio from a finite sample of its cumulative cash flow. The learned value process is ...

SPRINGER HEIDELBERG2021

Fractional extreme distributions

Thomas Simon, Lotfi Boudabsa

We consider three classes of linear differential equations on distribution functions, with a fractional order alpha is an element of [0; 1]. The integer case alpha = 1 corresponds to the three classical extreme families. In general, we show that there is a ...

2020