3 citations · 3 across the 4 of their papers we have counts for
5 papers
Approximation of stochastic insurer balance-sheet results using signatures of economic scenarios
Hervé Andrès, Alexandre Boumezoued, Arthur Bourdon +1
In the insurance industry, Asset and Liability Management (ALM) models are key tools for numerous applications, including Solvency Capital Requirement (SCR) computation and asset a…
Linear independence properties of the signature components of time-augmented stochastic processes
Arthur Bourdon, Benjamin Jourdain, Hervé Andrès
Adding the time as a component of a stochastic process before computing its signature terminal value ensures injectivity and supports universal approximation results, but it induce…
Existence, uniqueness and positivity of solutions to the Guyon-Lekeufack path-dependent volatility model with general kernels
Hervé Andrès, Benjamin Jourdain
We show the existence and uniqueness of a continuous solution to a path-dependent volatility model introduced by Guyon and Lekeufack (2023) to model the price of an equity index an…
The implied volatility surface (also) is path-dependent
Hervé Andrès, Alexandre Boumezoued, Benjamin Jourdain
We propose a new model for the forecasting of both the implied volatility surfaces and the underlying asset price. In the spirit of Guyon and Lekeufack (2023) who are interested in…
Signature-based validation of real-world economic scenarios
Hervé Andrès, Alexandre Boumezoued, Benjamin Jourdain
Motivated by insurance applications, we propose a new approach for the validation of real-world economic scenarios. This approach is based on the statistical test developed by Chev…