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Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino - In: Decisions in economics and finance : a journal of … 44 (2021) 1, pp. 57-72
Persistent link: https://www.econbiz.de/10012587815
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Computing credit valuation adjustment solving coupled PIDEs in the Bates model
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino - In: Computational management science 17 (2020) 2, pp. 163-178
Persistent link: https://www.econbiz.de/10012272056
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Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino - In: Quantitative finance 20 (2020) 4, pp. 573-591
Persistent link: https://www.econbiz.de/10012194908
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Fourier-Cosine method for pricing and hedging insurance derivatives
Goudenège, Ludovic; Molent, Andrea; Wei, Xiao; … - In: Theoretical economics letters 8 (2018) 3, pp. 282-291
Persistent link: https://www.econbiz.de/10011822600
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Moving average options : machine learning and Gauss-Hermite quadrature for a double non-Markovian problem
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino - In: European journal of operational research : EJOR 303 (2022) 2, pp. 958-974
Persistent link: https://www.econbiz.de/10013364051
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Taxation of a GMWB variable annuity in a stochastic interest rate model
Molent, Andrea - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 1001-1035
Persistent link: https://www.econbiz.de/10012307397
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Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonio - In: Insurance / Mathematics & economics 70 (2016), pp. 38-57
Persistent link: https://www.econbiz.de/10011597137
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New insights on testing the efficiency of methods of pricing and hedging American options
Pressacco, Flavio; Gaudenzi, Marcellino; Zanette, Antonino - In: European journal of operational research : EJOR 185 (2008) 1, pp. 235-254
Persistent link: https://www.econbiz.de/10003768761
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A moments and strike matching binominal algorithm for pricing American put options
Jourdain, Benjamin; Zanette, Antonino - In: Decisions in economics and finance : DEF ; a journal of … 31 (2008) 1, pp. 33-49
Persistent link: https://www.econbiz.de/10003771585
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A mixed PDE-Monte Carlo approcha for pricing credit default index swaptions
Bally, Vlad; Caramellino, Lucia; Zanette, Antonino - In: Decisions in economics and finance : DEF ; a journal of … 29 (2006) 2, pp. 121-137
Persistent link: https://www.econbiz.de/10003835675