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Structure: Internal structure identifier : 208994

Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models

Ludovic Goudenège , Molent Andrea , Antonino Zanette
Insurance: Mathematics and Economics, 2016, 70, pp.38-57. ⟨10.1016/j.insmatheco.2016.05.018⟩
Journal articles hal-01390968v1

Pricing and hedging GMWB in the Heston and in the Black–Scholes with stochastic interest rate models

Ludovic Goudenège , Andrea Molent , Antonino Zanette
Computational Management Science, 2019, 16 (1-2), pp.217-248. ⟨10.1007/s10287-018-0304-2⟩
Journal articles hal-01940715v1
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Analysis and simulation of rare events for SPDE

Charles-Edouard Bréhier , Maxime Gazeau , Ludovic Goudenège , Mathias Rousset
2014
Preprints, Working Papers, ... hal-00921680v1
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Central Limit Theorem for Adaptative Multilevel Splitting Estimators in an Idealized Setting

Charles-Edouard Bréhier , Ludovic Goudenège , Loic Tudela
Springer Proceedings in Mathematics & Statistics, 2016, Monte Carlo and Quasi-Monte Carlo Methods: MCQMC, Leuven, Belgium, April 2014, 163, pp.245--260. ⟨10.1007/978-3-319-33507-0_10⟩
Journal articles hal-01074155v1

Asymptotics for the normalized error of the Ninomiya–Victoir scheme

Emmanuelle Clément , Anis Al Gerbi , Benjamin Jourdain
Stochastic Processes and their Applications, 2018, 128 (6), pp.1889-1928. ⟨10.1016/j.spa.2017.08.017⟩
Journal articles hal-01772604v1
Image document

Unbiasedness of some generalized adaptive multilevel splitting algorithms

Charles-Edouard Bréhier , Maxime Gazeau , Ludovic Goudenège , Tony Lelièvre , Mathias Rousset
Annals of Applied Probability, 2016, 26 (6), pp.3559 - 3601. ⟨10.1214/16-AAP1185⟩
Journal articles hal-01142704v1

Analysis and simulation of rare events for SPDEs

Charles-Edouard Bréhier , Maxime Gazeau , Ludovic Goudenège , Mathias Rousset
ESAIM: Proceedings and Surveys, 2015, 48, pp.364-384. ⟨10.1051/proc/201448017⟩
Journal articles hal-02746493v1