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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

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

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

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

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

Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models

Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 217-248

Persistent link: https://www.econbiz.de/10011993464

Stochastic Cahn-Hilliard equation with singular nonlinearity and reflection

Goudenège, Ludovic - In: Stochastic Processes and their Applications 119 (2009) 10, pp. 3516-3548

We consider a stochastic partial differential equation with logarithmic (or negative power) nonlinearity, with one reflection at 0 and with a constraint of conservation of the space average. The equation, driven by the derivative in space of a space-time white noise, contains a bi-Laplacian in...

Persistent link: https://www.econbiz.de/10008874996

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

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

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