57 citations · 266 across the 32 of their papers we have counts for
36 papers
Market-Informed Valuation of GMMB Riders with Surrender Options under a Heston Stochastic-Local Volatility Model
Ludovic Goudenege, Andrea Molent, Xiao Wei +1
We develop a market-informed valuation framework for guaranteed minimum maturity benefit (GMMB) riders with rational surrender under the Heston stochastic-local volatility (SLV) mo…
Quantitative approximation of the Vlasov(-Fokker-Planck)-Navier-Stokes system by stochastic particle systems
Ludovic Goudenège, Christian Olivera, Gabriela Planas +1
This paper is concerned with a fluid-particle system given by the incompressible Navier-Stokes equations coupled with the Vlasov(-Fokker-Planck) equation through a drag force. Such…
Robust Pricing of Equity-Indexed Annuities under Uncertain Volatility and Stochastic Interest Rate
Ludovic Goudenège, Andrea Molent, Antonino Zanette
In this paper, we propose a novel methodology for pricing equity-indexed annuities featuring cliquet-style payoff structures and early surrender risk, using advanced financial mode…
Leveraging Machine Learning for High-Dimensional Option Pricing within the Uncertain Volatility Model
Ludovic Goudenege, Andrea Molent, Antonino Zanette
This paper explores the application of Machine Learning techniques for pricing high-dimensional options within the framework of the Uncertain Volatility Model (UVM). The UVM is a r…
Numerical approximation of the stochastic heat equation with a distributional reaction term
Ludovic Goudenège, El Mehdi Haress, Alexandre Richard
We study the numerical approximation of the stochastic heat equation with a distributional reaction term. Under a condition on the Besov regularity of the reaction term, it was pro…
Enhancing Valuation of Variable Annuities in Lévy Models with Stochastic Interest Rate
Ludovic Goudenège, Andrea Molent, Xiao Wei +1
This paper extends the valuation and optimal surrender framework for variable annuities with guaranteed minimum benefits in a Lévy equity market environment by incorporating a stoc…
Backward Hedging for American Options with Transaction Costs
Ludovic Goudenège, Andrea Molent, Antonino Zanette
In this article, we introduce an algorithm called Backward Hedging, designed for hedging European and American options while considering transaction costs. The optimal strategy is…
A New Non-Linear Density Fluctuations Stochastic Partial Differential Equation With a Singular Coefficient of Relevance to Polymer Dynamics and Rheology: Discussions, Proofs of Solution Existence, Uniqueness, and a Conjecture
Ludovic Goudenège, Liviu Iulian Palade
In this paper we consider an entirely new - previously unstudied to the best of our knowledge - type of density fluctuations stochastic partial differential equation with a singula…
Numerical approximation of SDEs with fractional noise and distributional drift
Ludovic Goudenège, El Mehdi Haress, Alexandre Richard
We study the numerical approximation of SDEs with singular drifts (including distributions) driven by a fractional Brownian motion. Under the Catellier-Gubinelli condition that imp…
Convergence of the stochastic Navier-Stokes- solutions toward the stochastic Navier-Stokes solutions
Jad Doghman, Ludovic Goudenège
Loosely speaking, the Navier-Stokes- model and the Navier-Stokes equations differ by a spatial filtration parametrized by a scale denoted . Starting from a strong two-dimensi…
Computing XVA for American basket derivatives by Machine Learning techniques
Ludovic Goudenege, Andrea Molent, Antonino Zanette
Total value adjustment (XVA) is the change in value to be added to the price of a derivative to account for the bilateral default risk and the funding costs. In this paper, we comp…
Numerical and convergence analysis of the stochastic Lagrangian averaged Navier-Stokes equations
Jad Doghman, Ludovic Goudenège
The primary emphasis of this work is the development of a finite element based space-time discretization for solving the stochastic Lagrangian averaged Navier-Stokes (LANS-) equ…
Likelihood-based non-Markovian models from molecular dynamics
Hadrien Vroylandt, Ludovic Goudenège, Pierre Monmarché +2
We introduce a new method to accurately and efficiently estimate the effective dynamics of collective variables in molecular simulations. Such reduced dynamics play an essential ro…
Moving average options: Machine Learning and Gauss-Hermite quadrature for a double non-Markovian problem
Ludovic Goudenège, Andrea Molent, Antonino Zanette
Evaluating moving average options is a tough computational challenge for the energy and commodity market as the payoff of the option depends on the prices of a certain underlying o…
Revisiting the framework for intermittency in Lagrangian stochastic models for turbulent flows: a way to an original and versatile numerical approach
Roxane Letournel, Ludovic Goudenège, Rémi Zamansky +2
The characterization of intermittency in turbulence has its roots in the K62 theory, and if no proper definition is to be found in the literature, statistical properties of intermi…
Ergodicity of stochastic Cahn-Hilliard equations with logarithmic potentials driven by degenerate or nondegenerate noises
Ludovic Goudenège, Bin Xie
We study the asymptotic properties of the stochastic Cahn-Hilliard equation with the logarithmic free energy by establishing different dimension-free Harnack inequalities according…
-Navier-Stokes equation perturbed by space-time noise of trace class
Ludovic Goudenège, Luigi Manca
We consider a stochastic perturbation of the -Navier-Stokes model. The stochastic perturbation is an additive space-time noise of trace class. Under a natural condition about th…
Machine Learning for Pricing American Options in High-Dimensional Markovian and non-Markovian models
Ludovic Goudenège, Andrea Molent, Antonino Zanette
In this paper we propose two efficient techniques which allow one to compute the price of American basket options. In particular, we consider a basket of assets that follow a multi…
Variance Reduction Applied to Machine Learning for Pricing Bermudan/American Options in High Dimension
Ludovic Goudenège, Andrea Molent, Antonino Zanette
In this paper we propose an efficient method to compute the price of multi-asset American options, based on Machine Learning, Monte Carlo simulations and variance reduction techniq…
Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate
Ludovic Goudenège, Andrea Molent, Antonino Zanette
In this paper we investigate price and Greeks computation of a Guaranteed Minimum Withdrawal Benefit (GMWB) Variable Annuity (VA) when both stochastic volatility and stochastic int…
Stochastic phase field -Navier-Stokes vesicle-fluid interaction model
Ludovic Goudenège, Luigi Manca
We consider a stochastic perturbation of the phase field alpha-Navier-Stokes model with vesicle-fluid interaction. It consists in a system of nonlinear evolution partial differenti…
Taxation of a GMWB Variable Annuity in a Stochastic Interest Rate Model
Andrea Molent
Modeling taxation of Variable Annuities has been frequently neglected but accounting for it can significantly improve the explanation of the withdrawal dynamics and lead to a bette…
Numerical methods for piecewise deterministic Markov processes with boundary
Ludovic Goudenège
In this paper is described the general aspect of a numerical method for piecewise determin-istic Markov processes with boundary. Under very natural hypotheses, a crucial result abo…
Statistical and probabilistic modeling of a cloud of particles coupled with a turbulent fluid
Ludovic Goudenège, Adam Larat, Julie Llobell +4
This paper exposes a novel exploratory formalism, which end goal is the numerical simulation of the dynamics of a cloud of particles weakly or strongly coupled with a turbulent flu…