A Comparative Study of Polynomial-Type Chaos Expansions for Indicator Functions

Autor: Florian Bourgey, Emmanuel Gobet, Clément Rey

Publikováno v: SIAM/ASA Journal on Uncertainty Quantification. 10:1350-1383

We propose a thorough comparison of polynomial chaos expansion (PCE) for indicator functions of the form 1 c≤X for some threshold parameter c ∈ R and a random variable X associated with classical orthogonal polynomials. We provide tight global an

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0934c7f7197f75ee69463cb76c164217
https://doi.org/10.1137/21m1413146

Multilevel Monte Carlo methods and lower–upper bounds in initial margin computations

Autor: Stefano De Marco, Alexandre Zhou, Emmanuel Gobet, Florian Bourgey

Publikováno v: Monte Carlo Methods and Applications
Monte Carlo Methods and Applications, De Gruyter, 2020, 26 (2), ⟨10.1515/mcma-2020-2062⟩

The multilevel Monte Carlo (MLMC) method developed by M. B. Giles [Multilevel Monte Carlo path simulation, Oper. Res. 56 2008, 3, 607–617] has a natural application to the evaluation of nested expectations 𝔼 [ g ( 𝔼 [ f ( X , Y ) | X ] ) ] {\

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0c5f5b5568da9de9370a827fdf33d02d
https://doi.org/10.1515/mcma-2020-2062

Local volatility under rough volatility

Autor: Florian Bourgey, Stefano De Marco, Peter K. Friz, Paolo Pigato

Several asymptotic results for the implied volatility generated by a rough volatility model have been obtained in recent years (notably in the small-maturity regime), providing a better understanding of the shapes of the volatility surface induced by

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::22c48e4d98798a3780b78ba9637779db