57 citations · 266 across the 32 of their papers we have counts for
5 papers · 1 filter
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…