New Software and Platforms
Development of the quantitative platform Premia in 2018
Premia 20 has been delivered to the Consortium Premia on March 12th.
It contains the following new algorithms :
Optimal Trade Execution, Risk Management, Insurance
Optimal Execution Under Jump Models For Uncertain Price
Impact. S.Moazeni, T.F.Coleman, Y.Li
The Journal of
Computational Finance. Vol. 18, Issue 3, 2015.
Nested Monte Carlo for Risk Margin computation. L.A. Abbas-Turki, S.Crepey, B.Diallo.
Efficient Estimation of Sensitivities for
Counterparty Credit Risk with the Finite
Difference Monte-Carlo Method. C. S.L. de Graaf, D.Kandhai, P.M.A.Sloot.
The Journal of Computational Finance, Volume 21, Issue 1, 2017.
Nested Simulation in Portfolio Risk Measurement. M.B.Gordy, S.Juneja
Management Science, Vol 56, Issue 10, 2010
Spectral methods for the calculation of risk measures for
variable annuity guaranteed benefits. R. Feng, H.W. Volkmer
ASTIN Bull., 44(3), 2014
Fast computation of risk measures for variable annuities with
additional earnings by conditional moment matching. N. Privault X.Wei
ASTIN Bull., 48(1):171–196, 2018.
Pricing under Rough volatility. C. Bayer, P.Friz, J. Gatheral
Quantitative Finance, Vol. 16, No. 6, 887-904, 2016.
Hybrid scheme for Brownian semistationary
processes. M. Bennedsen, A. Lunde, M.S.Pakkanen
Finance and Stochastics 21(4), 931–965, 2017.
Antithetic multilevel Monte Carlo estimation for
multi-dimensional SDEs without Lévy area simulation. M. B. Giles and
The Annals of Applied Probability, Vol. 24, No. 4, 2014
Fourier transform algorithms for pricing and hedging discretely
sampled exotic variance products and volatility derivatives under
additive processes. W. Zheng and Y. K. Kwok
The Journal of Computational Finance, Volume 18, Issue 2, 2014.
Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and
Matrix Exponentials. A.Iktin
The Journal of Computational Finance, Volume 19, Issue 3, 2016
High-Order Splitting Methods for Forward PDEs and PIDEs. A.Iktin
International Journal of Theoretical and Applied Finance,
Pricing Bullet option on local volatility model using GPU
Pricing Bermudan Options via Multilevel Approximation
Methods. D. Belomestny, F. Dickmann, T.Nagapetyan.
Siam J. Financial Math., Volume 6, 2015.
Pricing CIR yield options by conditional moment matching. A. Prayoga N. Privault
Asia-Pacific Financial Markets, 24:19–38, 2017
We benefit from the help of the engineer Pierre-Guillaume Raverdy.