4 papers
Quantitative approximation of the Vlasov(-Fokker-Planck)-Navier-Stokes system by stochastic particle systems
Ludovic Goudenège, Christian Olivera, Gabriela Planas +1
This paper is concerned with a fluid-particle system given by the incompressible Navier-Stokes equations coupled with the Vlasov(-Fokker-Planck) equation through a drag force. Such…
Leveraging Machine Learning for High-Dimensional Option Pricing within the Uncertain Volatility Model
Ludovic Goudenege, Andrea Molent, Antonino Zanette
This paper explores the application of Machine Learning techniques for pricing high-dimensional options within the framework of the Uncertain Volatility Model (UVM). The UVM is a r…
Robust Pricing of Equity-Indexed Annuities under Uncertain Volatility and Stochastic Interest Rate
Ludovic Goudenège, Andrea Molent, Antonino Zanette
In this paper, we propose a novel methodology for pricing equity-indexed annuities featuring cliquet-style payoff structures and early surrender risk, using advanced financial mode…
Numerical approximation of SDEs with fractional noise and distributional drift
Ludovic Goudenège, El Mehdi Haress, Alexandre Richard
We study the numerical approximation of SDEs with singular drifts (including distributions) driven by a fractional Brownian motion. Under the Catellier-Gubinelli condition that imp…