57 citations · 266 across the 32 of their papers we have counts for
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q-fin.CP2026
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…
math.PR2026
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…