3 papers
q-fin.RM2026
Approximation of stochastic insurer balance-sheet results using signatures of economic scenarios
Hervé Andrès, Alexandre Boumezoued, Arthur Bourdon +1
In the insurance industry, Asset and Liability Management (ALM) models are key tools for numerous applications, including Solvency Capital Requirement (SCR) computation and asset a…
q-fin.CP2025
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…
q-fin.CP2025
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…