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q-fin.CP2011
GPGPUs in computational finance: Massive parallel computing for American style options
Gilles Pagès, Benedikt Wilbertz
The pricing of American style and multiple exercise options is a very challenging problem in mathematical finance. One usually employs a Least-Square Monte Carlo approach (Longstaf…
q-fin.CP2009
An application to credit risk of a hybrid Monte Carlo-Optimal quantization method
Giorgia Callegaro, Abass Sagna
In this paper we use a hybrid Monte Carlo-Optimal quantization method to approximate the conditional survival probabilities of a firm, given a structural model for its credit defau…
q-fin.CP2008★ 12 cited
From Black-Scholes and Dupire formulae to last passage times of local martingales. Part A : The infinite time horizon
Amel Bentata, Marc Yor
These notes are the first half of the contents of the course given by the second author at the Bachelier Seminar (February 8-15-22 2008) at IHP. They also correspond to topics stud…