New Software and Platforms
Algorithms implemented in Premia in 2016
Premia 18 has been delivered to the consortium members in March 2016.
It contains the following new algorithms:
Insurance, Risk Management, Optimal Trade Execution
A Forward Solution for Computing Derivatives Exposure. M. Ben
Taarit, B. Lapeyre.
Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model. Q. Feng, C.W. Oosterlee.
Dynamic optimal execution in a mixed-market-impact Hawkes price
model. A. Alfonsi, P. Blanc.
Finance & Stochastics
A Hamilton Jacobi Bellman approach to optimal trade execution. P. Forsyth,
Applied Numerical Mathematics 61, 2011.
Value function approximation or stopping time approximation: a
comparison of two recent numerical methods for American option
pricing using simulation and regression. L. Stentoft,
Journal of Computational Finance, 18( 1), 2014.
Pricing American-Style Options by Monte Carlo Simulation:
Alternatives to Ordinary Least Squares. S. Tompaidis, C. Yang,
Journal of Computational Finance, 18(1), 2014,
Solving Optimal Stopping Problems using Martingale
The Stochastic Grid Bundling Method: Efficient Pricing of Bermudan Options and their Greeks. S. Jain, C.W. Oosterlee.
Two-dimensional Fourier cosine series expansion method for
pricing financial options. C.W.Oosterlee M.J. Ruijter, SIAM J. Sci. Comput., 34(5), 2012.
Estimation of the parameters of the Wishart process. A.Alfonsi,
The 4/2 Stochastic Volatility Model. M. Grasselli,
Ninomiya Victoir Scheme and Multi Level Scheme. A. Al Gerbi, E. Clement, B. Jourdain.
Importance Sampling for Multilevel Monte Carlo. A.Kebaier J.Lelong
The evaluation of barrier option prices under stochastic
volatility. C.Chiarella, B.Kang, G.H.Meyer,
Computers and Mathematics with Applications 64, 2012.
Volatility swaps and volatility options on discretely sampled realized
variance. G.Lian, C.Chiarella, P.S.Kalev,
Journal of Economic Dynamics Control 47 2014
Efficient variations of the Fourier transform in applications to option pricing. S. Boyarchenko and S.Levendorski,
Journal of Computational Finance, 18(2), 2014.
Model-free implied volatility: from surface to
index. M. Fukasawa et al.,
Int. J. Theor. Appl. Finan. 14, 433, 2011
Stratified approximations for the pricing of
options on average. N.Privault J.Yu Journal of Computational
Moreover, J. Lelong has ensured
everyday maintenance to fix various bugs, especially related to Visual C++;
and has get rid of the old bunch of scripts to generate the HTML documentation by
implementing the required mechanism directly in TeX. This makes the system much
more robust; He has also worked on the continuous integration process with Sébastien Hinderer.
Moreover, part of Premia documentation is now generated directly from the source code. The
3000 lines of undocumented C code used so far had become unmaintainable. Now, it
is replaced by a much more flexible and efficient Python script.