1 citations · 1 across the 3 of their papers we have counts for
3 papers
math.PR2025
A control variate method based on polynomial approximation of Brownian path
Josselin Garnier, Laurent Mertz
We present a novel control variate technique for enhancing the efficiency of Monte Carlo (MC) estimation of expectations involving solutions to stochastic differential equations (S…
math.PR2024
Sensitivity analysis of colored noise-driven interacting particle systems
Josselin Garnier, Harry L. F. Ip, Laurent Mertz
We propose an efficient sensitivity analysis method for a wide class of colored noise-driven interacting particle systems (IPS). Our method is based on unperturbed simulations and…
q-fin.RM2021★ 1 cited
The Climate Extended Risk Model (CERM)
Josselin Garnier, Jean-Baptiste Gaudemet, Anne Gruz
This paper addresses estimates of climate risk embedded within a bank credit portfolio. The proposed Climate Extended Risk Model (CERM) adapts well known credit risk models and mak…