3 papers
q-fin.PR2025
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…
q-fin.PR2024
Enhancing Valuation of Variable Annuities in Lévy Models with Stochastic Interest Rate
Ludovic Goudenège, Andrea Molent, Xiao Wei +1
This paper extends the valuation and optimal surrender framework for variable annuities with guaranteed minimum benefits in a Lévy equity market environment by incorporating a stoc…
math-ph2023
A New Non-Linear Density Fluctuations Stochastic Partial Differential Equation With a Singular Coefficient of Relevance to Polymer Dynamics and Rheology: Discussions, Proofs of Solution Existence, Uniqueness, and a Conjecture
Ludovic Goudenège, Liviu Iulian Palade
In this paper we consider an entirely new - previously unstudied to the best of our knowledge - type of density fluctuations stochastic partial differential equation with a singula…