4 papers
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…
Deep Least Squares Monte Carlo methods for the valuation of variable annuities with guarantees
Nicolas Langrené, Xiaolin Luo, Pavel V. Shevchenko +1
In general, the pricing of variable annuities with guarantees can be done by solving the corresponding optimal stochastic control problem if the contract withdrawal strategy is ass…
A deep learning approach for pricing convertible bonds with path-dependent reset and call provisions
Qinwen Zhu, Wen Chen, Nicolas Langrené
This paper develops a deep learning-based framework for pricing convertible bonds with path-dependent contractual features, namely downward conversion price reset and issuer call c…
Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization
Rongju Zhang, Nicolas Langrené, Yu Tian +3
The least squares Monte Carlo algorithm has become popular for solving portfolio optimization problems. A simple approach is to approximate the value functions on a discrete grid o…