3 papers
q-fin.RM2026
General bounds on functionals of the lifetime under life table constraints in a joint actuarial-financial framework
Jean-Loup Dupret, Edouard Motte
In life insurance, life tables are used to estimate the survival distribution of individuals from a given population. However, these tables only provide survival probabilities at i…
q-fin.PM2025
Signature approach for pricing and hedging path-dependent options with frictions
Eduardo Abi Jaber, Donatien Hainaut, Edouard Motte
We introduce a novel signature approach for pricing and hedging path-dependent options with instantaneous and permanent market impact under a mean-quadratic variation criterion. Le…
q-fin.MF2025
The Volterra Stein-Stein model with stochastic interest rates
Eduardo Abi Jaber, Donatien Hainaut, Edouard Motte
We introduce the Volterra Stein-Stein model with stochastic interest rates, where both volatility and interest rates are driven by correlated Gaussian Volterra processes. This fram…