38 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- CERMICSFR9 papers
- Laboratoire d’Analyse et de Mathématiques AppliquéesFR9 papers
- Centre National de la Recherche ScientifiqueFR7 papers
- Institut national de recherche en sciences et technologies du numériqueFR6 papers
- Université Paris-Est CréteilFR4 papers
- University of Rome Tor VergataIT4 papers
- University of UdineIT4 papers
- Centre de Recherche en Mathématiques de la DécisionFR3 papers
- Le LAMAFR3 papers
- Université Paris-Est Marne-la-ValléeFR3 papers
- École Centrale ParisFR2 papers
- École nationale des ponts et chausséesFR2 papers
3 papers · 1 filter
Diffusions under a local strong Hörmander condition. Part I: density estimates
Vlad Bally, Lucia Caramellino, Paolo Pigato
We study lower and upper bounds for the density of a diffusion process in in a small (but not asymptotic) time, say . We assume that the diffusion coefficients…
Pricing and Hedging GMWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models
Ludovic Goudenège, Andrea Molent, Antonino Zanette
Valuing Guaranteed Minimum Withdrawal Benefit (GMWB) has attracted significant attention from both the academic field and real world financial markets. As remarked by Yang and Dai,…
Asymptotics for the normalized error of the Ninomiya-Victoir scheme
Anis Al Gerbi, Benjamin Jourdain, Emmanuelle Clément
In a previous work, we proved strong convergence with order of the Ninomiya-Victoir scheme with time step to the solution of the limiting SDE. In this pa…