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Approximating payoffs and pricing formulas

Darolles, Serge; Laurent, Jean-Paul - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1721-1746

Persistent link: https://www.econbiz.de/10001508770

Mean-variance hedging and numeraire

Gouriéroux, Christian; Laurent, Jean-Paul; Pham, Huyên - 1996

Persistent link: https://www.econbiz.de/10000950071

Approximating payoffs and approximating pricing formulas

Darolles, Serge; Laurent, Jean-Paul - 1997

Persistent link: https://www.econbiz.de/10000980460

Building a consistent pricing model from observed option prices

Laurent, Jean-Paul; Leisen, Dietmar - 1998

Persistent link: https://www.econbiz.de/10001355935

Building a consistent pricing model from observed option prices

Laurent, Jean-Paul; Leisen, Dietmar - 1999

Persistent link: https://www.econbiz.de/10001380392

Gaussian process regression for swaption cube construction under no-arbitrage constraints

Cousin, Areski; Deleplace, Adrien; Misko, Adrien - In: Risks : open access journal 10 (2022) 12, pp. 1-19

In this paper, we introduce a 3D finite dimensional Gaussian process (GP) regression approach for learning arbitrage-free swaption cubes. Based on the possibly noisy observations of swaption prices, the proposed 'constrained' GP regression approach is proven to be arbitrage-free along the strike...

Persistent link: https://www.econbiz.de/10014230924

Paris-Princeton lectures on mathematical finance ; 4.2010

Cousin, Areski (contributor); Carmona, René (contributor) - 2011

Persistent link: https://www.econbiz.de/10009349792