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Section: New Software and Platforms
Premia
Development of the quantitative platform Premia in 2019
Premia 21 has been delivered to the Premia Consortium on March 21th 2019.
In this version, the following algorithms have been implemented:
Machine Learning, Risk Management, Risk model, Insurance
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Machine Learning for Quantitative Finance: Fast Derivative Pricing, Hedging and Fitting. J. De Spiegeleer, D. B. Madan, S. Reyners, W. Schoutens
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Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate. L.Goudenege A.Molent A.Zanette 2019
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Machine Learning for Pricing American Options in High Dimension. L.Goudenege A.Molent A.Zanette 2019
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Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems. A. Alfonsi, J. Corbetta, B. Jourdain
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Computing Credit Valuation Adjustment solving coupled PIDEs in the Bates model. L. Goudenege, A. Molent, A. Zanette
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Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate. P.V.Shevchenko, X.Luo
Equity Derivatives
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An adjoint method for the exact calibration of Stochastic Local Volatility models. M.Wins, K.J.in 't Hout.
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Discretization of class of diffusions nonlinear in the sense of McKean including the calibrated LVSV model. B. Jourdain, A. Zhou
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On an efficient multiple time-step Monte Carlo simulation of the SABR model. A. Leitao, L.A. Grzelak, C.W. Oosterlee
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Robust Barrier Option Pricing by Frame Projection under Exponential Levy Dynamics. J.L. Kirkby
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Ultra-Fast Pricing Barrier Options and CDSs. S.Levendorskii
International Journal of Theoretical and Applied Finance, 20(5), 2017
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Efficient Binomial tree for the discretization of the CEV model. L.Caramellino, E.Lombardo.
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Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach. J.Lelong
We benefited from the help of the engineer Pierre-Guillaume Raverdy.