2 papers
math.PR2020
Switching problems with controlled randomisation and associated obliquely reflected BSDEs
Cyril Bénézet, Jean-François Chassagneux, Adrien Richou
We introduce and study a new class of optimal switching problems, namely switching problem with controlled randomisation, where some extra-randomness impacts the choice of switchin…
q-fin.RM2018
A sparse grid approach to balance sheet risk measurement
Cyril Bénézet, Jérémie Bonnefoy, Jean-François Chassagneux +3
In this work, we present a numerical method based on a sparse grid approximation to compute the loss distribution of the balance sheet of a financial or an insurance company. We fi…