3 citations · 3 across the 3 of their papers we have counts for
4 papers
Optimized Multi-Level Monte Carlo Parametrization and Antithetic Sampling for Nested Simulations
Alexandre Boumezoued, Adel Cherchali, Vincent Lemaire +2
Estimating risk measures such as large loss probabilities and Value-at-Risk is fundamental in financial risk management and often relies on computationally intensive nested Monte C…
A new Input Convex Neural Network with application to options pricing
Vincent Lemaire, Gilles Pagès, Christian Yeo
We introduce a new class of neural networks designed to be convex functions of their inputs, leveraging the principle that any convex function can be represented as the supremum of…
Convex ordering for stochastic control: the (path dependent) swing contracts case
Gilles Pagès, Christian Yeo
We investigate propagation of convexity and convex ordering on a typical discrete-time stochastic optimal control problem, namely the pricing of swing option. The dynamics of the u…
Swing contract pricing: with and without Neural Networks
Vincent Lemaire, Gilles Pagès, Christian Yeo
We propose two parametric approaches to evaluate swing contracts with firm constraints. Our objective is to define approximations for the optimal control, which represents the amou…