no code implementations • 3 May 2023 • Areski Cousin, Jérôme Lelong, Tom Picard
This paper studies the multi-period mean-variance portfolio allocation problem with transaction costs.
1 code implementation • 20 Dec 2022 • Marc Chataigner, Areski Cousin, Stéphane Crépey, Matthew Dixon, Djibril Gueye
We explore the abilities of two machine learning approaches for no-arbitrage interpolation of European vanilla option prices, which jointly yield the corresponding local volatility surface: a finite dimensional Gaussian process (GP) regression approach under no-arbitrage constraints based on prices, and a neural net (NN) approach with penalization of arbitrages based on implied volatilities.
no code implementations • 22 Sep 2021 • Areski Cousin, Jérôme Lelong, Tom Picard
Analyzing the effect of business cycle on rating transitions has been a subject of great interest these last fifteen years, particularly due to the increasing pressure coming from regulators for stress testing.
