Zobrazeno 1 - 10
of 23
pro vyhledávání: '"Bénézet, Cyril"'
We investigate sample-based learning of conditional distributions on multi-dimensional unit boxes, allowing for different dimensions of the feature and target spaces. Our approach involves clustering data near varying query points in the feature spac
Externí odkaz:
http://arxiv.org/abs/2406.09375
We consider the multiple quantile hedging problem, which is a class of partial hedging problems containing as special examples the quantile hedging problem (F{\"o}llmer \& Leukert 1999) and the PnL matching problem (introduced in Bouchard \& Vu 2012)
Externí odkaz:
http://arxiv.org/abs/2308.01121
Darwinian model risk is the risk of mis-price-and-hedge biased toward short-to-medium systematic profits of a trader, which are only the compensator of long term losses becoming apparent under extreme scenarios where the bad model of the trader no lo
Externí odkaz:
http://arxiv.org/abs/2304.02479
Autor:
Bénézet, Cyril, Crépey, Stéphane
In this paper we revisit Burnett (2021) \& Burnett and Williams (2021)'s notion of hedging valuation adjustment (HVA), originally intended to deal with dynamic hedging frictions such as transaction costs, in the direction of model risk. The correspon
Externí odkaz:
http://arxiv.org/abs/2205.11834
We introduce and study a new class of optimal switching problems, namely switching problem with controlled randomisation, where some extra-randomness impacts the choice of switching modes and associated costs. We show that the optimal value of the sw
Externí odkaz:
http://arxiv.org/abs/2001.11308
Publikováno v:
SIAM J. Finan. Math. 12-1 (2021), pp. 110-157
We consider the numerical approximation of the quantile hedging price in a non-linear market. In a Markovian framework, we propose a numerical method based on a Piecewise Constant Policy Timestepping (PCPT) scheme coupled with a monotone finite diffe
Externí odkaz:
http://arxiv.org/abs/1902.11228
Autor:
Bénézet, Cyril, Bonnefoy, Jérémie, Chassagneux, Jean-François, Deng, Shuoqing, Trillos, Camilo Garcia, Lenôtre, Lionel
Publikováno v:
ESAIM: PROCEEDINGS AND SURVEYS, February 2019, Vol. 65, p. 236-265
In this work, we present a numerical method based on a sparse grid approximation to compute the loss distribution of the balance sheet of a financial or an insurance company. We first describe, in a stylised way, the assets and liabilities dynamics t
Externí odkaz:
http://arxiv.org/abs/1811.08706
Publikováno v:
In Stochastic Processes and their Applications February 2022 144:23-71
Autor:
Bénézet, Cyril1 (AUTHOR) cyril.benezet@ensiie.fr, Gobet, Emmanuel2 (AUTHOR), Targino, Rodrigo3 (AUTHOR)
Publikováno v:
Methodology & Computing in Applied Probability. Mar2023, Vol. 25 Issue 1, p1-41. 41p.
Autor:
Bénézet Cyril, Bonnefoy Jérémie, Chassagneux Jean-François, Deng Shuoqing, Garcia Trillos Camilo, Lenôtre Lionel
Publikováno v:
ESAIM: Proceedings and Surveys, Vol 65, Pp 236-265 (2019)
In this work, we present a numerical method based on a sparse grid approximation to compute the loss distribution of the balance sheet of a financial or an insurance company. We first describe, in a stylised way, the assets and liabilities dynamics t
Externí odkaz:
https://doaj.org/article/bb860cda184f4f7fadb0132409c0c0bb