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Neural network regression for Bermudan option pricing

Monte Carlo methods and applications, 2021-09, Vol.27 (3), p.227-247

2021

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How Many Inner Simulations to Compute Conditional Expectations with Least-square Monte Carlo?

Methodology and computing in applied probability, 2023-09, Vol.25 (3), p.71, Article 71

2023

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Jacobi stochastic volatility factor for the LIBOR market model

Finance and stochastics, 2022-10, Vol.26 (4), p.771-823

2022

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TRM6/61 connects PKCα with translational control through tRNAiMet stabilization: impact on tumorigenesis

Oncogene, 2016-04, Vol.35 (14), p.1785-1796

2016

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Infrastructure maintenance, regeneration and service quality economics: A rail example

Transportation research. Part B: methodological, 2016-04, Vol.86, p.181-210

2016

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A Simple GDP-based Model for Public Investments at Risk

Journal of benefit-cost analysis, 2017-01, Vol.8 (1), p.91-114

2017

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A FORWARD EQUATION FOR COMPUTING DERIVATIVES EXPOSURE

International journal of theoretical and applied finance, 2019-05, Vol.22 (3), p.1950015

2019

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Pricing derivatives on graphics processing units using Monte Carlo simulation

Concurrency and computation, 2014-06, Vol.26 (9), p.1679-1697

2014

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A framework for adaptive Monte Carlo procedures

Monte Carlo methods and applications, 2011-03, Vol.17 (1), p.77-98

2011

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Using Premia and Nsp for constructing a risk management benchmark for testing parallel architecture

Concurrency and computation, 2014-06, Vol.26 (9), p.1654-1665

2014

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American Options by Malliavin Calculus and Nonparametric Variance and Bias Reduction Methods

SIAM journal on financial mathematics, 2012-01, Vol.3 (1), p.479-510

2012

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CONVENIENT MULTIPLE DIRECTIONS OF STRATIFICATION

International journal of theoretical and applied finance, 2011-09, Vol.14 (6), p.867-897

2011

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CONVENIENT MULTIPLE DIRECTIONS OF STRATIFICATION

International journal of theoretical and applied finance, 2011-09, Vol.14 (6), p.867-897

2011

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Economic Scenario Generators: a risk management tool for insurance

MathematicS In Action, 2022-09, Vol.11 (1), p.43-60

2022

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Preface

Probability and statistics, 2007-03, Vol.11, p.1

2007

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Preface

Probability and statistics, 2007-02, Vol.11, p.1-2

2007

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Preface

Probability and statistics, 2007-02, Vol.11, p.1-2

2007

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Variational inequalities and the pricing of American options

Acta applicandae mathematicae, 1990-12, Vol.21 (3), p.263-289

1990

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Hedging Index Options With Few Assets

Mathematical finance, 1993-01, Vol.3 (1), p.25-41

1993

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Une application de la théorie des excursions à une diffusion réfléchie dégénérée

Probability theory and related fields, 1990-06, Vol.87 (2), p.189-207

LAPEYRE, B

1990

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Hedging Index Options With Few Assets 1

Mathematical finance, 1993-01, Vol.3 (1), p.25-41

1993

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Hedging Index Options With Few Assets1

Mathematical finance, 1993-01, Vol.3 (1), p.25-41

1993

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Competitive Monte Carlo methods for the pricing of Asian options

The journal of computational finance, 2001, Vol.5 (1), p.39-57

2001

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A Forward Solution for Computing Risk-Neutral Derivatives Exposure

SSRN Electronic Journal

Iben Taarit, Marouan

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High dimensional pricing of exotic European contracts on a GPU Cluster, and comparison to a CPU cluster

2009 IEEE International Symposium on Parallel & Distributed Processing, 2009, p.1-8

2009

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Neural network regression for Bermudan option pricing

How Many Inner Simulations to Compute Conditional Expectations with Least-square Monte Carlo?

Jacobi stochastic volatility factor for the LIBOR market model

TRM6/61 connects PKCα with translational control through tRNAiMet stabilization: impact on tumorigenesis

Infrastructure maintenance, regeneration and service quality economics: A rail example

A Simple GDP-based Model for Public Investments at Risk

A FORWARD EQUATION FOR COMPUTING DERIVATIVES EXPOSURE

Pricing derivatives on graphics processing units using Monte Carlo simulation

A framework for adaptive Monte Carlo procedures

Using Premia and Nsp for constructing a risk management benchmark for testing parallel architecture

American Options by Malliavin Calculus and Nonparametric Variance and Bias Reduction Methods

CONVENIENT MULTIPLE DIRECTIONS OF STRATIFICATION

CONVENIENT MULTIPLE DIRECTIONS OF STRATIFICATION

Economic Scenario Generators: a risk management tool for insurance

Preface

Preface

Preface

Variational inequalities and the pricing of American options

Hedging Index Options With Few Assets

Une application de la théorie des excursions à une diffusion réfléchie dégénérée

Hedging Index Options With Few Assets 1

Hedging Index Options With Few Assets1

Competitive Monte Carlo methods for the pricing of Asian options

A Forward Solution for Computing Risk-Neutral Derivatives Exposure

High dimensional pricing of exotic European contracts on a GPU Cluster, and comparison to a CPU cluster

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