Zobrazeno 1 - 10
of 41
pro vyhledávání: '"Bernard Lapeyre"'
Autor:
Jérôme Lelong, Bernard Lapeyre
Publikováno v:
Monte Carlo Methods and Applications
Monte Carlo Methods and Applications, De Gruyter, 2021, 27 (3), pp.227-247. ⟨10.1515/mcma-2021-2091⟩
Monte Carlo Methods and Applications, 2021, 27 (3), pp.227-247. ⟨10.1515/mcma-2021-2091⟩
Monte Carlo Methods and Applications, De Gruyter, 2021, 27 (3), pp.227-247. ⟨10.1515/mcma-2021-2091⟩
Monte Carlo Methods and Applications, 2021, 27 (3), pp.227-247. ⟨10.1515/mcma-2021-2091⟩
The pricing of Bermudan options amounts to solving a dynamic programming principle, in which the main difficulty, especially in high dimension, comes from the conditional expectation involved in the computation of the continuation value. These condit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8e16d0e4f737465ac99d1d7eaead07de
https://hal.univ-grenoble-alpes.fr/hal-02183587v3/file/ls-nn.pdf
https://hal.univ-grenoble-alpes.fr/hal-02183587v3/file/ls-nn.pdf
Autor:
Marouan Iben Taarit, Bernard Lapeyre
In this paper, we derive a forward analytical formula for computing the expected exposure of financial derivatives. Under general assumptions about the underlying diffusion process, we give a convenient decomposition of the exposure into two terms: T
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8c59b46001ef31adc69d26ddda226f9b
https://hal.science/hal-01667100
https://hal.science/hal-01667100
Autor:
Emile Quinet, Bernard Lapeyre
Publikováno v:
Journal of Benefit-Cost Analysis
Journal of Benefit-Cost Analysis, Cambridge University Press, 2017, 8 (01), pp.91-114. ⟨10.1017/bca.2017.5⟩
Journal of Benefit-Cost Analysis, 2017, 8 (01), pp.91-114. ⟨10.1017/bca.2017.5⟩
Journal of Benefit-Cost Analysis, Cambridge University Press, 2017, 8 (01), pp.91-114. ⟨10.1017/bca.2017.5⟩
Journal of Benefit-Cost Analysis, 2017, 8 (01), pp.91-114. ⟨10.1017/bca.2017.5⟩
Investment decision rules in risk situations have been extensively analyzed for firms. Most research focus on financial options and the wide range of methods based on dynamic programming currently used by firms to decide on whether and when to implem
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fdc8d9c314798f8704b9ca7d14acbcec
https://hal.archives-ouvertes.fr/hal-01666574/file/Choix-en-incertitude-2017-6-2.pdf
https://hal.archives-ouvertes.fr/hal-01666574/file/Choix-en-incertitude-2017-6-2.pdf
Autor:
Bernard Lapeyre, Marouan Iben Taarit
Publikováno v:
International Journal of Theoretical and Applied Finance. 22:1950015
We derive a forward equation for computing the expected exposure of financial derivatives. Under general assumptions about the underlying diffusion process, we give an explicit decomposition of the exposure into an intrinsic value which can be direct
Autor:
Gang Zheng, Armelle Choquet, Alexandre David, Jérémy Ollier, Noémie Legrand, Stephane Delbecq, Dominique Joubert, Damien Paulet, Ivan Bièche, S Durrieu, Luc Bauchet, S Khoury-Hanna, Y El-houfi, Tao Pan, Hao Xu, Laura Yazdani, Julie Pannequin, Françoise Macari, Frédéric Hollande, Anders S. Byström, Galina Boldina, Stéphan Vagner, Martin Teichmann, Bernard Lapeyre
Publikováno v:
Oncogene
Oncogene, Nature Publishing Group, 2016, 35 (14), pp.1785-1796. ⟨10.1038/onc.2015.244⟩
Oncogene, Nature Publishing Group, 2016, 35 (14), pp.1785-1796. ⟨10.1038/onc.2015.244⟩
International audience; Accumulating evidence suggests that changes of the protein synthesis machinery alter translation of specific mRNAs and participate in malignant transformation. Here we show that protein kinase C α (PKCα) interacts with TRM61
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::29eb5876c8c3bd4602b69c513174d041
https://hal-univ-perp.archives-ouvertes.fr/hal-01224206
https://hal-univ-perp.archives-ouvertes.fr/hal-01224206
Publikováno v:
Concurrency and Computation: Practice and Experience. 26:1654-1665
Financial institutions have massive computations to carry out overnight, which are very CPU demanding. The challenge is to price many different products on a cluster-like architecture. We have used the Premia software to valuate the financial derivat
Publikováno v:
Concurrency and Computation: Practice and Experience. 26:1679-1697
This paper is about using the existing Monte Carlo approach for pricing European and American contracts on a state-of-the-art graphics processing unit GPU architecture. First, we adapt on a cluster of GPUs two different suitable paradigms of parallel
Publikováno v:
Transportation Research Part B: Methodological
Transportation Research Part B: Methodological, Elsevier, 2016, 86, pp.181-210. ⟨10.1016/j.trb.2016.01.015⟩
Transportation Research Part B: Methodological, 2016, 86, pp.181-210. ⟨10.1016/j.trb.2016.01.015⟩
Transportation Research Part B: Methodological, Elsevier, 2016, 86, pp.181-210. ⟨10.1016/j.trb.2016.01.015⟩
Transportation Research Part B: Methodological, 2016, 86, pp.181-210. ⟨10.1016/j.trb.2016.01.015⟩
International audience; This paper proposes a formalized framework for the joint economic optimization of continuous maintenance and periodic regeneration of rail transport infrastructure taking into account output consisting not only in traffic leve
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::56a33a562aeb49648aec1761e1f3744c
https://halshs.archives-ouvertes.fr/halshs-00559637v3/document
https://halshs.archives-ouvertes.fr/halshs-00559637v3/document
Autor:
Damien Lamberton, Bernard Lapeyre
Since the publication of the first edition of this book, the area of mathematical finance has grown rapidly, with financial analysts using more sophisticated mathematical concepts, such as stochastic integration, to describe the behavior of markets a
Autor:
Lokmane Abbas-Turki, Bernard Lapeyre
Publikováno v:
SIAM Journal on Financial Mathematics
SIAM Journal on Financial Mathematics, Society for Industrial and Applied Mathematics 2012, 3 (1), pp.479-510. ⟨10.1137/11083890X⟩
SIAM Journal on Financial Mathematics, 2012, 3 (1), pp.479-510. ⟨10.1137/11083890X⟩
SIAM Journal on Financial Mathematics, Society for Industrial and Applied Mathematics 2012, 3 (1), pp.479-510. ⟨10.1137/11083890X⟩
SIAM Journal on Financial Mathematics, 2012, 3 (1), pp.479-510. ⟨10.1137/11083890X⟩
International audience; This paper is devoted to pricing American options using Monte Carlo and Malliavin calculus. We develop this method on two types of models, the multidimensional exponential model with deterministic (nonconstant) volatility and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::103793101e9ab3b1f31b007d8cdc95fa
https://hal.archives-ouvertes.fr/hal-01666862
https://hal.archives-ouvertes.fr/hal-01666862