3 papers
stat.ML2024
Learning conditional distributions on continuous spaces
Cyril Bénézet, Ziteng Cheng, Sebastian Jaimungal
We investigate sample-based learning of conditional distributions on multi-dimensional unit boxes, allowing for different dimensions of the feature and target spaces. Our approach…
math.PR2023
An optimal transport approach for the multiple quantile hedging problem
Cyril Bénézet, Jean-François Chassagneux, Mohan Yang
We consider the multiple quantile hedging problem, which is a class of partial hedging problems containing as special examples the quantile hedging problem (F{ö}llmer \& Leukert 19…
q-fin.RM2023
The Recalibration Conundrum: Hedging Valuation Adjustment for Callable Claims
Cyril Bénézet, Stéphane Crépey, Dounia Essaket
The dynamic hedging theory only makes sense in the setup of one given model, whereas the practice of dynamic hedging is just the opposite, with models fleeing after the data throug…