Mohamed Lalaoui

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The purpose of this article is to give a closed Fourier-based valuation formula for a caplet in the framework of the Lévy forward process model which was introduced in Eberlein and Özkan (2005) [8]. Afterwards, we compute Greeks by two approaches which come from totally different mathematical fields. The first is based on the integration–by–parts formula,(More)
The Simulated Annealing (SA) is a stochastic local search algorithm. It is an adaptation of the Metropolis-Hastings Monte Carlo algorithm. SA mimics the annealing process in metallurgy to approximate the global optimum of an optimization problem and uses a temperature parameter to control the search. The efficiency of the simulated annealing algorithm(More)
The present paper explores a new approach to control the simulated annealing (SA) with Huang cooling. The central idea is to control the cooling speed using a fuzzy controller to maintain a balance between exploration and exploitation which is critical for a good performances of SA. We perform this through a dynamic variation of the Huang cooling parameter(More)
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