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q-fin.CP2023
A semi-Lagrangian -monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
Yaowen Lu, Duy-Minh Dang
We develop an efficient pricing approach for guaranteed minimum withdrawal benefits (GMWBs) with continuous withdrawals under a realistic modeling setting with jump-diffusions and…
q-fin.CP2023
A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models
Hanwen Zhang, Duy-Minh Dang
We develop a efficient, easy-to-implement, and strictly monotone numerical integration method for Mean-Variance (MV) portfolio optimization in realistic contexts, which involve jum…
q-fin.CP2023
Fourier Neural Network Approximation of Transition Densities in Finance
Rong Du, Duy-Minh Dang
This paper introduces FourNet, a novel single-layer feed-forward neural network (FFNN) method designed to approximate transition densities for which closed-form expressions of thei…