Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models
Ludovic Goudenège
,
Molent Andrea
,
Antonino Zanette
Journal articles
hal-01390968v1
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Pricing and hedging GMWB in the Heston and in the Black–Scholes with stochastic interest rate models
Ludovic Goudenège
,
Andrea Molent
,
Antonino Zanette
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
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Asymptotics for the normalized error of the Ninomiya–Victoir scheme
Emmanuelle Clément
,
Anis Al Gerbi
,
Benjamin Jourdain
Journal articles
hal-01772604v1
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Unbiasedness of some generalized adaptive multilevel splitting algorithms
Charles-Edouard Bréhier
,
Maxime Gazeau
,
Ludovic Goudenège
,
Tony Lelièvre
,
Mathias Rousset
Journal articles
hal-01142704v1
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Analysis and simulation of rare events for SPDEs
Charles-Edouard Bréhier
,
Maxime Gazeau
,
Ludovic Goudenège
,
Mathias Rousset
Journal articles
hal-02746493v1
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