3 papers
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.MF2025
Convex ordering for stochastic control: the (path dependent) swing contracts case
Gilles Pagès, Christian Yeo
We investigate propagation of convexity and convex ordering on a typical discrete-time stochastic optimal control problem, namely the pricing of swing option. The dynamics of the u…
stat.ML2024
A new Input Convex Neural Network with application to options pricing
Vincent Lemaire, Gilles Pagès, Christian Yeo
We introduce a new class of neural networks designed to be convex functions of their inputs, leveraging the principle that any convex function can be represented as the supremum of…