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Found 6 papers, 0 papers with code
Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context
We consider optimal allocation problems with Conditional Value-At-Risk (CVaR) constraint.
A pure dual approach for hedging Bermudan options
This paper develops a new dual approach to compute the hedging portfolio of a Bermudan option and its initial value.
Mean-variance dynamic portfolio allocation with transaction costs: a Wiener chaos expansion approach
This paper studies the multi-period mean-variance portfolio allocation problem with transaction costs.
Pricing Bermudan options using regression trees/random forests
At each time step, one needs to compare the immediate exercise value with the continuation value and decide to exercise as soon as the exercise value is strictly greater than the continuation value.
Rating transitions forecasting: a filtering approach
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.
Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach
In this work, we propose a new policy iteration algorithm for pricing Bermudan options when the payoff process cannot be written as a function of a lifted Markov process.
