Ludovic Goudenège

activity

20182026

most citedLikelihood-based non-Markovian models from molecular dynamics

57 citations · 64 across the 16 of their papers we have counts for

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Showing 2022Show all

2 papers · 1 filter

math.AP2022

Convergence of the stochastic Navier-Stokes- $α$ solutions toward the stochastic Navier-Stokes solutions

Jad Doghman, Ludovic Goudenège

Loosely speaking, the Navier-Stokes- $α$ model and the Navier-Stokes equations differ by a spatial filtration parametrized by a scale denoted $α$ . Starting from a strong two-dimensi…

q-fin.CP2022

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…

Convergence of the stochastic Navier-Stokes-α solutions toward the stochastic Navier-Stokes solutions

Computing XVA for American basket derivatives by Machine Learning techniques

Convergence of the stochastic Navier-Stokes- $α$ solutions toward the stochastic Navier-Stokes solutions