19 citations · 39 across the 14 of their papers we have counts for
18 papers
Adaptive singular-point method for pricing and hedging surrenderable equity-linked contracts
Andrea Molent, Marcellino Gaudenzi
We propose a deterministic numerical method for pricing and hedging surrenderable equity-linked life-insurance contracts with periodic premiums and fund contributions, maturity and…
Neural Calibration of a Complete Market Model
Andrea Molent, Michel Vellekoop
We propose a neural calibration method to construct a recombining binomial tree directly from a set of given option prices. Rather than estimating a continuous option pricing funct…
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…
Valuation of GLWB-LTC Annuities with Lévy Equity Dynamics, Stochastic Interest Rates and Health-State Transitions
Andrea Molent
This paper develops a valuation framework for guaranteed lifetime withdrawal benefit (GLWB) contracts with long-term care (LTC) features when the reference fund follows exponential…
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…
The Life Care Annuity: enhancing product features and refining pricing methods
G. Apicella, A. Molent, M. Gaudenzi
The state-of-the-art proposes Life Care Annuities, that have been recently designed as variable annuity contracts with Long-Term Care payouts and Guaranteed Lifelong Withdrawal Ben…
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…
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…
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…
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…
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…
Computing Credit Valuation Adjustment solving coupled PIDEs in the Bates model
Ludovic Goudenège, Andrea Molent, Antonino Zanette
Credit value adjustment (CVA) is the charge applied by financial institutions to the counterparty to cover the risk of losses on a counterpart default event. In this paper we estim…
Pricing and Hedging GMWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models
Ludovic Goudenège, Andrea Molent, Antonino Zanette
Valuing Guaranteed Minimum Withdrawal Benefit (GMWB) has attracted significant attention from both the academic field and real world financial markets. As remarked by Yang and Dai,…
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…