Zobrazeno 1 - 10
of 111
pro vyhledávání: '"Goudenège, Ludovic"'
This paper explores the application of Machine Learning techniques for pricing high-dimensional options within the framework of the Uncertain Volatility Model (UVM). The UVM is a robust framework that accounts for the inherent unpredictability of mar
Externí odkaz:
http://arxiv.org/abs/2407.13213
We study the numerical approximation of the stochastic heat equation with a distributional reaction term. Under a condition on the Besov regularity of the reaction term, it was proven recently that a strong solution exists and is unique in the pathwi
Externí odkaz:
http://arxiv.org/abs/2405.08201
This paper extends the valuation and optimal surrender framework for variable annuities with guaranteed minimum benefits in a L\'evy equity market environment by incorporating a stochastic interest rate described by the Hull-White model. This approac
Externí odkaz:
http://arxiv.org/abs/2404.07658
In this paper we consider an entirely new - previously unstudied to the best of our knowledge - type of density fluctuations stochastic partial differential equation with a singular coefficient involving the inverse of a probability density. The equa
Externí odkaz:
http://arxiv.org/abs/2306.05800
In this article, we introduce an algorithm called Backward Hedging, designed for hedging European and American options while considering transaction costs. The optimal strategy is determined by minimizing an appropriate loss function, which is based
Externí odkaz:
http://arxiv.org/abs/2305.06805
We study the well-posedness and numerical approximation of multidimensional stochastic differential equations (SDEs) with distributional drift, driven by a fractional Brownian motion. First, we prove weak existence for such SDEs. This holds under a c
Externí odkaz:
http://arxiv.org/abs/2302.11455
Autor:
Doghman, Jad, Goudenège, Ludovic
Loosely speaking, the Navier-Stokes-$\alpha$ model and the Navier-Stokes equations differ by a spatial filtration parametrized by a scale denoted $\alpha$. Starting from a strong two-dimensional solution to the Navier-Stokes-$\alpha$ model driven by
Externí odkaz:
http://arxiv.org/abs/2210.02232
Total value adjustment (XVA) is the change in value to be added to the price of a derivative to account for the bilateral default risk and the funding costs. In this paper, we compute such a premium for American basket derivatives whose payoff depend
Externí odkaz:
http://arxiv.org/abs/2209.06485
Autor:
Doghman, Jad, Goudenège, Ludovic
The primary emphasis of this work is the development of a finite element based space-time discretization for solving the stochastic Lagrangian averaged Navier-Stokes (LANS-$\alpha$) equations of incompressible fluid turbulence with multiplicative ran
Externí odkaz:
http://arxiv.org/abs/2110.15611
Autor:
Vroylandt, Hadrien, Goudenège, Ludovic, Monmarché, Pierre, Pietrucci, Fabio, Rotenberg, Benjamin
We introduce a new method to accurately and efficiently estimate the effective dynamics of collective variables in molecular simulations. Such reduced dynamics play an essential role in the study of a broad class of processes, ranging from chemical r
Externí odkaz:
http://arxiv.org/abs/2110.04246