82 citations · 326 across the 13 of their papers we have counts for
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q-fin.CP2016
Unbiased Monte Carlo Simulation of Diffusion Processes
Louis Paulot
Monte Carlo simulations of diffusion processes often introduce bias in the final result, due to time discretization. Using an auxiliary Poisson process, it is possible to run simul…
q-fin.CP2014
Parallel American Monte Carlo
Calypso Herrera, Louis Paulot
In this paper we introduce a new algorithm for American Monte Carlo that can be used either for American-style options, callable structured products or for computing counterparty c…
q-fin.CP2009
Efficient Pricing of CPPI using Markov Operators
Louis Paulot, Xavier Lacroze
Constant Proportion Portfolio Insurance (CPPI) is a strategy designed to give participation in a risky asset while protecting the invested capital. Some gap risk due to extreme eve…