3 citations · 9 across the 9 of their papers we have counts for
3 papers · 1 filter
Optimized Multi-Level Monte Carlo Parametrization and Antithetic Sampling for Nested Simulations
Alexandre Boumezoued, Adel Cherchali, Vincent Lemaire +2
Estimating risk measures such as large loss probabilities and Value-at-Risk is fundamental in financial risk management and often relies on computationally intensive nested Monte C…
The implied volatility surface (also) is path-dependent
Hervé Andrès, Alexandre Boumezoued, Benjamin Jourdain
We propose a new model for the forecasting of both the implied volatility surfaces and the underlying asset price. In the spirit of Guyon and Lekeufack (2023) who are interested in…
Fast calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion
Laurent Devineau, Pierre-Edouard Arrouy, Paul Bonnefoy +1
This paper demonstrates the efficiency of using Edgeworth and Gram-Charlier expansions in the calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusi…