97 citations · 329 across the 13 of their papers we have counts for
3 papers · 1 filter
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 framework for pricing convertible bonds with path-dependent downward reset and issuer call provisions governed by rolling-window triggers. We fo…