1 code implementation • 21 Mar 2024 • Sébastien Bossu, Stéphane Crépey, Hoang-Dung Nguyen
We propose a distributional formulation of the spanning problem of a multi-asset payoff by vanilla basket options.
no code implementations • 14 Sep 2022 • D Barrera, S Crépey, E Gobet, Hoang-Dung Nguyen, B Saadeddine
We propose a non-asymptotic convergence analysis of a two-step approach to learn a conditional value-at-risk (VaR) and expected shortfall (ES) in a nonparametric setting using Rademacher and Vapnik-Chervonenkis bounds.
