Zobrazeno 1 - 10
of 107
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
Autor:
Goudenège Ludovic, Larat Adam, Llobell Julie, Massot Marc, Mercier David, Thomine Olivier, Vié Aymeric
Publikováno v:
ESAIM: Proceedings and Surveys, Vol 65, Pp 401-424 (2019)
This paper exposes a novel exploratory formalism, the end goal of which is the numerical simulation of the dynamics of a cloud of particles weakly or strongly coupled with a turbulent fluid. Given the large panel of expertise of the list of authors,
Externí odkaz:
https://doaj.org/article/72072ab7be2e4e258c3077082ffa1948
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
Publikováno v:
ESAIM: Proceedings and Surveys, Vol 48, Pp 364-384 (2015)
In this work, we consider the numerical estimation of the probability for a stochastic process to hit a set B before reaching another set A. This event is assumed to be rare. We consider reactive trajectories of the stochastic Allen-Cahn partial d
Externí odkaz:
https://doaj.org/article/9a870decfe3446e594302f02d6396799
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
Autor:
Goudenège Ludovic
Publikováno v:
ESAIM: Proceedings and Surveys, Vol 45, Pp 338-348 (2014)
In this paper is described the general aspect of a numerical method for piecewise deterministic Markov processes with boundary. Under very natural hypotheses, a crucial result about uniqueness of solution of a generalized Kolmogorov equation with r
Externí odkaz:
https://doaj.org/article/e60bc52b6d9147f48fb4905d89e41795
We study the numerical approximation of SDEs with singular drifts (including distributions) driven by a fractional Brownian motion. Under the Catellier-Gubinelli condition that imposes the regularity of the drift to be strictly greater than $1-1/(2H)
Externí odkaz:
http://arxiv.org/abs/2302.11455
Autor:
Doghman, Jad, Goudenège, Ludovic
Loosely speaking, the Navier-Stokes-$\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