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Mohammed Mikou

Personal Details

First Name:Mohammed
Middle Name:
Last Name:Mikou
Suffix:
RePEc Short-ID:pmi825
[This author has chosen not to make the email address public]
http://mmi.perso.eisti.fr/
Terminal Degree:2009 Faculté de Sciences Économiques et de Gestion; Université Paris-Est (from RePEc Genealogy)

Affiliation

Bank Al-Maghrib

Rabat, Morocco
http://www.bkam.ma/
RePEc:edi:bamgvma (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Mohammed Mikou, 2024. "Impact de la réforme Bâle III sur les banques marocaines," Document de travail 2023-3, Bank Al-Maghrib, Département de la Recherche.
  2. Mohammed Mikou, 2023. "The Impact of the Basel III banking regulation on Moroccan banks," IHEID Working Papers 10-2023, Economics Section, The Graduate Institute of International Studies.
  3. Omar Chafik & Mohammed Mikou & Yassine Slaoui & Tomas Motl, 2022. "A DSGE model for macroprudential policy in Morocco," Document de travail 2022-3, Bank Al-Maghrib, Département de la Recherche.
  4. Salim DEHMEJ & Mohammed MIKOU, 2020. "Indice agrégé de stabilité financière au Maroc," Document de travail 2020-2, Bank Al-Maghrib, Département de la Recherche.
  5. Damien Lamberton & Mohammed Mikou, 2011. "Exercise Boundary of the American Put Near Maturity in an Exponential L\'evy Model," Papers 1105.0284, arXiv.org.

Articles

  1. Abbas-Turki Lokman A. & Bouselmi Aych I. & Mikou Mohammed A., 2014. "Toward a coherent Monte Carlo simulation of CVA," Monte Carlo Methods and Applications, De Gruyter, vol. 20(3), pages 195-216, September.
  2. Damien Lamberton & Mohammed Mikou, 2013. "Exercise boundary of the American put near maturity in an exponential Lévy model," Finance and Stochastics, Springer, vol. 17(2), pages 355-394, April.
  3. Damien Lamberton & Mohammed Mikou, 2008. "The critical price for the American put in an exponential Lévy model," Finance and Stochastics, Springer, vol. 12(4), pages 561-581, October.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Damien Lamberton & Mohammed Mikou, 2011. "Exercise Boundary of the American Put Near Maturity in an Exponential L\'evy Model," Papers 1105.0284, arXiv.org.

    Cited by:

    1. Kleinert, Florian & van Schaik, Kees, 2015. "A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 3234-3254.
    2. Baurdoux, Erik J. & Pedraza, José M., 2024. "Lp optimal prediction of the last zero of a spectrally negative Lévy process," LSE Research Online Documents on Economics 119468, London School of Economics and Political Science, LSE Library.
    3. Baurdoux, Erik J. & Pedraza, José M., 2023. "Predicting the last zero before an exponential time of a spectrally negative Lévy process," LSE Research Online Documents on Economics 119290, London School of Economics and Political Science, LSE Library.
    4. Florian Kleinert & Kees van Schaik, 2013. "A variation of the Canadisation algorithm for the pricing of American options driven by L\'evy processes," Papers 1304.4534, arXiv.org.
    5. Jos'e E. Figueroa-L'opez & Ruoting Gong, 2025. "Near-Maturity Asymptotics of Critical Prices of American Put Options under Exponential L\'{e}vy Models," Papers 2512.17791, arXiv.org.

Articles

  1. Damien Lamberton & Mohammed Mikou, 2013. "Exercise boundary of the American put near maturity in an exponential Lévy model," Finance and Stochastics, Springer, vol. 17(2), pages 355-394, April.
    See citations under working paper version above.
  2. Damien Lamberton & Mohammed Mikou, 2008. "The critical price for the American put in an exponential Lévy model," Finance and Stochastics, Springer, vol. 12(4), pages 561-581, October.

    Cited by:

    1. Lukas Gonon & Christoph Schwab, 2021. "Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models," Finance and Stochastics, Springer, vol. 25(4), pages 615-657, October.
    2. Lukas Gonon & Christoph Schwab, 2021. "Deep ReLU Network Expression Rates for Option Prices in high-dimensional, exponential L\'evy models," Papers 2101.11897, arXiv.org, revised Jul 2021.
    3. Baurdoux, Erik J. & Pedraza, José M., 2024. "Lp optimal prediction of the last zero of a spectrally negative Lévy process," LSE Research Online Documents on Economics 119468, London School of Economics and Political Science, LSE Library.
    4. Blessing Taruvinga & Boda Kang & Christina Sklibosios Nikitopoulos, 2018. "Pricing American Options with Jumps in Asset and Volatility," Research Paper Series 394, Quantitative Finance Research Centre, University of Technology, Sydney.
    5. Anna Battauz & Marzia De Donno & Alessandro Sbuelz, 2015. "Real Options and American Derivatives: The Double Continuation Region," Management Science, INFORMS, vol. 61(5), pages 1094-1107, May.
    6. Baurdoux, Erik J. & Pedraza, José M., 2023. "Predicting the last zero before an exponential time of a spectrally negative Lévy process," LSE Research Online Documents on Economics 119290, London School of Economics and Political Science, LSE Library.
    7. Damien Lamberton & Mohammed Mikou, 2013. "Exercise boundary of the American put near maturity in an exponential Lévy model," Finance and Stochastics, Springer, vol. 17(2), pages 355-394, April.
    8. Zakaria Marah, 2023. "American Exchange option driven by a L\'evy process," Papers 2307.10900, arXiv.org.
    9. Belssing Taruvinga, 2019. "Solving Selected Problems on American Option Pricing with the Method of Lines," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2019, January-A.
    10. Jos'e E. Figueroa-L'opez & Ruoting Gong, 2025. "Near-Maturity Asymptotics of Critical Prices of American Put Options under Exponential L\'{e}vy Models," Papers 2512.17791, arXiv.org.
    11. Bovo, Andrea & De Angelis, Tiziano, 2025. "On the saddle point of a zero-sum stopper vs. singular-controller game," Stochastic Processes and their Applications, Elsevier, vol. 182(C).
    12. Baurdoux, Erik J. & Pedraza, José M., 2025. "On the last zero process with an application in corporate bankruptcy," LSE Research Online Documents on Economics 128366, London School of Economics and Political Science, LSE Library.
    13. Anna Battauz & Marzia De Donno & Janusz Gajda & Alessandro Sbuelz, 2022. "Optimal exercise of American put options near maturity: A new economic perspective," Review of Derivatives Research, Springer, vol. 25(1), pages 23-46, April.
    14. Medvedev, Alexey & Scaillet, Olivier, 2010. "Pricing American options under stochastic volatility and stochastic interest rates," Journal of Financial Economics, Elsevier, vol. 98(1), pages 145-159, October.
    15. Tim Leung & Haohua Wan, 2015. "ESO Valuation with Job Termination Risk and Jumps in Stock Price," Papers 1504.08073, arXiv.org.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ARA: MENA - Middle East and North Africa (3) 2021-02-08 2023-02-20 2023-07-10
  2. NEP-BAN: Banking (2) 2023-02-20 2023-07-10
  3. NEP-CBA: Central Banking (2) 2023-02-20 2023-07-10
  4. NEP-FDG: Financial Development and Growth (2) 2021-02-08 2023-02-20
  5. NEP-DGE: Dynamic General Equilibrium (1) 2023-02-20
  6. NEP-MAC: Macroeconomics (1) 2021-02-08
  7. NEP-MFD: Microfinance (1) 2023-07-10
  8. NEP-RMG: Risk Management (1) 2023-07-10

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