57 citations · 266 across the 32 of their papers we have counts for
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q-fin.PR2015★ 19 cited
Pricing and Hedging GLWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models
Ludovic Goudenege, Andrea Molent, Antonino Zanette
Valuing Guaranteed Lifelong Withdrawal Benefit (GLWB) has attracted significant attention from both the academic field and real world financial markets. As remarked by Forsyth and…
math.PR2015★ 4 cited
Central Limit Theorem for Adaptative Multilevel Splitting Estimators in an Idealized Setting
Charles-Edouard Bréhier, Ludovic Goudenège, Loic Tudela
The Adaptive Multilevel Splitting algorithm is a very powerful and versatile iterative method to estimate the probability of rare events, based on an interacting particle systems.…