11 citations · 12 across the 3 of their papers we have counts for
3 papers
stat.CO2026
Signed random Fourier features for fast density estimation with indefinite kernels
Xie Wang, Nicolas Langrené, Wen Chen
Kernel density estimation (KDE) is one of the most fundamental statistical estimators of density functions. Its direct implementation on a dataset of points incurs an $\mathcal…
q-fin.GN2020★ 1 cited
Deep neural network for optimal retirement consumption in defined contribution pension system
Wen Chen, Nicolas Langrené
In this paper, we develop a deep neural network approach to solve a lifetime expected mortality-weighted utility-based model for optimal consumption in the decumulation phase of a…
q-fin.MF2020★ 11 cited
Markovian approximation of the rough Bergomi model for Monte Carlo option pricing
Qinwen Zhu, Grégoire Loeper, Wen Chen +1
The recently developed rough Bergomi (rBergomi) model is a rough fractional stochastic volatility (RFSV) model which can generate more realistic term structure of at-the-money vola…