Search Results for author:
Found 9 papers, 4 papers with code
Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall
This article is a follow up to Cr\'epey, Frikha, and Louzi (2023), where we introduced a nested stochastic approximation algorithm and its multilevel acceleration for computing the value-at-risk and expected shortfall of a random financial loss.
Policy Gradient Optimal Correlation Search for Variance Reduction in Monte Carlo simulation and Maximum Optimal Transport
We propose a new algorithm for variance reduction when estimating $f(X_T)$ where $X$ is the solution to some stochastic differential equation and $f$ is a test function.
Swing contract pricing: with and without Neural Networks
We propose two parametric approaches to evaluate swing contracts with firm constraints.
From elephant to goldfish (and back): memory in stochastic Volterra processes
The numerical scheme exhibits a strong convergence rate of 1/2, which is independent of the roughness parameter of the volatility process.
Langevin algorithms for Markovian Neural Networks and Deep Stochastic control
Stochastic Gradient Descent Langevin Dynamics (SGLD) algorithms, which add noise to the classic gradient descent, are known to improve the training of neural networks in some cases where the neural network is very deep.
Performance of a Markovian neural network versus dynamic programming on a fishing control problem
Fishing quotas are unpleasant but efficient to control the productivity of a fishing site.
Quantization and martingale couplings
Quantization provides a very natural way to preserve the convex order when approximating two ordered probability measures by two finitely supported ones.
Quantization
Probability
60E15, 65C50, 65D32, 60J22, 60G42
Quantization-based Bermudan option pricing in the $FX$ world
This paper proposes two numerical solution based on Product Optimal Quantization for the pricing of Foreign Echange (FX) linked long term Bermudan options e. g. Bermudan Power Reverse Dual Currency options, where we take into account stochastic domestic and foreign interest rates on top of stochastic FX rate, hence we consider a 3-factor model.
Optimal posting price of limit orders: learning by trading
Considering that a trader or a trading algorithm interacting with markets during continuous auctions can be modeled by an iterating procedure adjusting the price at which he posts orders at a given rhythm, this paper proposes a procedure minimizing his costs.
Trading and Market Microstructure Probability
