50 citations · 131 across the 10 of their papers we have counts for
10 papers
Visual Diagnostics for Constrained Optimisation with Application to Guided Tours
H. Sherry Zhang, Dianne Cook, Ursula Laa +2
A guided tour helps to visualise high-dimensional data by showing low-dimensional projections along a projection pursuit optimisation path. Projection pursuit is a generalisation o…
Deep Semi-Martingale Optimal Transport
Ivan Guo, Nicolas Langrené, Grégoire Loeper +1
We propose two deep neural network-based methods for solving semi-martingale optimal transport problems. The first method is based on a relaxation/penalization of the terminal cons…
Versatile and Robust Transient Stability Assessment via Instance Transfer Learning
Seyedali Meghdadi, Guido Tack, Ariel Liebman +2
To support N-1 pre-fault transient stability assessment, this paper introduces a new data collection method in a data-driven algorithm incorporating the knowledge of power system d…
Portfolio optimization with a prescribed terminal wealth distribution
Ivan Guo, Nicolas Langrené, Grégoire Loeper +1
This paper studies a portfolio allocation problem, where the goal is to prescribe the wealth distribution at the final time. We study this problem with the tools of optimal mass tr…
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…
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…
Explicit approximations of option prices via Malliavin calculus in a general stochastic volatility framework
Kaustav Das, Nicolas Langrené
We establish an explicit approximation formula for European put option prices within a general stochastic volatility model with time-dependent parameters. Our methodology is based…
Fast multivariate empirical cumulative distribution function with connection to kernel density estimation
Nicolas Langrené, Xavier Warin
This paper revisits the problem of computing empirical cumulative distribution functions (ECDF) efficiently on large, multivariate datasets. Computing an ECDF at one evaluation poi…
Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach
Rongju Zhang, Nicolas Langrené, Yu Tian +3
We present a simulation-and-regression method for solving dynamic portfolio allocation problems in the presence of general transaction costs, liquidity costs and market impacts. Th…
Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
Idris Kharroubi, Nicolas Langrené, Huyên Pham
We propose a new probabilistic numerical scheme for fully nonlinear equation of Hamilton-Jacobi-Bellman (HJB) type associated to stochastic control problem, which is based on the F…