Section: New Software and Platforms


Development of the quantitative platform Premia in 2017

- Premia 18 has been registered at the Agence pour la Protection des Programmes APP (IDDN.FR.001.190010.014.S.C.2001.000.31000)

- Premia 19 has been delivered to the Consortium Premia on March 16th. It contains the following new algorithms : Risk Management, Model Risk, Insurance

  • XVA simulation on GPUs using Nested Monte Carlo. L. Abbas Turki

  • Model-independent bounds for option prices a mass transport approach. M. Beiglböck, P. H. Labordère, F. Penkner

    Finance Stochastics Volume 17, 2013.

  • Model-Independent Pricing of Asian Options via Optimal Martingale. F Stebegg

  • Pricing and Hedging GMWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models. L. Goudenege, A. Molent, A. Zanette

Equity Derivatives

  • Quantization meets Fourier: a new technology for pricing options. G. Callegaro, L. Fiorin, M. Grasselli.

  • Efficient unbiased simulation scheme for the SABR stochastic volatility model. B. Chen, C.W. Oosterlee J.A.M van der Weide.

    International Journal of Theoretical and Applied Finance. Vol. 15, No. 2 (2012)

  • An efficient Monte Carlo method for discrete variance contracts. N.Merener L.Vicchi

    The Journal of Computational Finance. Vol. 16, Issue 4, 2013.

  • The evaluation of barrier option prices under stochastic volatility. C.Chiarella, B.Kang, G.H.Meyer

    Computers and Mathematics with Applications 64, 2012.

  • Path-Dependent Volatility. J.Guyon

    Risk Magazine, October 2014.

  • Cross-Dependent Volatility. J.Guyon

    Risk Magazine, March 2016

  • Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model. N. Privault Q. She

    Applied Mathematics Letters, 53, 2016

  • Option price with stochastic volatility for both fast and slow mean-reverting regimes. Q. Zhang, J. Han, and M. Gao.

    C. R. Math. Acad. Sci. Paris, 351(9-10), 2013.

  • Application of the improved fast Gauss transform to option pricing under jump-diffusion processes. T. Sakuma and Y. Yamada

    The Journal of Computational Finance, Volume 18, Issue 2, 2014.

  • Features of the Russian derivatives market volatility index development taking into account possible price jumps. A. Grechko, O. Kudryavtsev

    Theory of Probability and Its Applications-SIAM, 2017 61:3 (2017), to appear

  • On the application of spectral filters in a Fourier option pricing technique. C.W. Oosterlee M.J. Ruijter, M. Versteegh

    The Journal of Computational Finance, Volume 19, Issue 1, 2015.

  • Unbiased simulation of stochastic differential equations. P.H. Labordere X. Tan, N. Touzi

We have benefited from the help of the engineer Cedric Doucet, supervised by Jérôme Lelong, for designing non regression tests for Premia.