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Titolo Data di pubblicazione Autore(i) File
Variable Annuities: the new solution to long-term investment problem 1-gen-2016 Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino
Pricing and Hedging GLWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models 1-gen-2016 Goudenge, Ludovic; Molent, Andrea; Zanette, Antonino
Fourier-Cosine Method for Pricing and Hedging Insurance Derivatives 1-gen-2018 Goudenège, Ludovic; Molent, Andrea; Wei, Xiao; Zanette, Antonino
Pricing and Hedging GMWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models 1-gen-2019 Ludovic, Goudenege; Molent, Andrea; Zanette, Antonino
Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models 1-gen-2020 Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino
TAXATION OF A GMWB VARIABLE ANNUITY IN A STOCHASTIC INTEREST RATE MODEL 1-gen-2020 Molent, Andrea
Computing credit valuation adjustment solving coupled PIDEs in the Bates model 1-gen-2020 Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino
Variance Reduction Applied to Machine Learning for Pricing Bermudan/American Options in High Dimension 1-gen-2021 Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino
Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate. 1-gen-2021 Goudenge, Ludovic; Molent, Andrea; Zanette, Antonino
Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem 1-gen-2022 Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino
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