20 citations · 20 across the 4 of their papers we have counts for
3 papers · 1 filter
Convenient Multiple Directions of Stratification
Benjamin Jourdain, Bernard Lapeyre, Piergiacomo Sabino
This paper investigates the use of multiple directions of stratification as a variance reduction technique for Monte Carlo simulations of path-dependent options driven by Gaussian…
A framework for adaptive Monte-Carlo procedures
Bernard Lapeyre, Jérôme Lelong
Adaptive Monte Carlo methods are recent variance reduction techniques. In this work, we propose a mathematical setting which greatly relaxes the assumptions needed by for the adapt…
Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture
Jean-Philippe Chancelier, Jérôme Lelong, Bernard Lapeyre
Financial institutions have massive computations to carry out overnight which are very demanding in terms of the consumed CPU. The challenge is to price many different products on…