Zobrazeno 1 - 10
of 51
pro vyhledávání: '"Lelong Jérome"'
We consider optimal allocation problems with Conditional Value-At-Risk (CVaR) constraint. We prove, under very mild assumptions, the convergence of the Sample Average Approximation method (SAA) applied to this problem, and we also exhibit a convergen
Externí odkaz:
http://arxiv.org/abs/2410.10239
This paper develops a new dual approach to compute the hedging portfolio of a Bermudan option and its initial value. It gives a "purely dual" algorithm following the spirit of Rogers (2010) in the sense that it only relies on the dual pricing formula
Externí odkaz:
http://arxiv.org/abs/2404.18761
Publikováno v:
ESAIM: Proceedings and Surveys, Vol 65, Pp I-I (2019)
Externí odkaz:
https://doaj.org/article/0a903739cbcb4b5c84a52d5f5d0d6057
Mean-variance dynamic portfolio allocation with transaction costs: a Wiener chaos expansion approach
This paper studies the multi-period mean-variance portfolio allocation problem with transaction costs. Many methods have been proposed these last years to challenge the famous uni-period Markowitz strategy.But these methods cannot integrate transacti
Externí odkaz:
http://arxiv.org/abs/2305.16152
The problem of computing the conditional expectation E[f (Y)|X] with least-square Monte-Carlo is of general importance and has been widely studied. To solve this problem, it is usually assumed that one has as many samples of Y as of X. However, when
Externí odkaz:
http://arxiv.org/abs/2209.04153
Publikováno v:
SIAM Journal on Financial Mathematics, In press
The value of an American option is the maximized value of the discounted cash flows from the option. At each time step, one needs to compare the immediate exercise value with the continuation value and decide to exercise as soon as the exercise value
Externí odkaz:
http://arxiv.org/abs/2201.02587
Publikováno v:
International Journal of Theoretical and Applied Finance, In press
Analyzing the effect of business cycle on rating transitions has been a subject of great interest these last fifteen years, particularly due to the increasing pressure coming from regulators for stress testing. In this paper, we consider that the dyn
Externí odkaz:
http://arxiv.org/abs/2109.10567
Autor:
Jonsson, Xavier, Lelong, Jérôme
In this work, we propose an algorithm to simulate rare events for electronic circuit design. Our approach heavily relies on a smart use of importance sampling, which enables us to tackle probabilities of the magnitude 10 --10. Not only can we compute
Externí odkaz:
http://arxiv.org/abs/2109.08393
Autor:
Lapeyre, Bernard, Lelong, Jérôme
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:
http://arxiv.org/abs/1907.06474
Autor:
Lelong, Jérôme
In this work, we propose a new policy iteration algorithm for pricing Bermudan options when the payoff process cannot be written as a function of a lifted Markov process. Our approach is based on a modification of the well-known Longstaff Schwartz al
Externí odkaz:
http://arxiv.org/abs/1901.05672