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

• Machine Learning for Quantitative Finance: Fast Derivative Pricing, Hedging and Fitting. J. De Spiegeleer, D. B. Madan, S. Reyners, W. Schoutens

  Quantitative Finance 2018

• Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate. L.Goudenege A.Molent A.Zanette 2019

• Machine Learning for Pricing American Options in High Dimension. L.Goudenege A.Molent A.Zanette 2019

• Neural networks for American options. L.Goudenege

• Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems. A. Alfonsi, J. Corbetta, B. Jourdain

• Computing Credit Valuation Adjustment solving coupled PIDEs in the Bates model. L. Goudenege, A. Molent, A. Zanette

  Computational Management Science, to appear 2019

• Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate. P.V.Shevchenko, X.Luo

  Insurance: Mathematics and Economics, Volume 76, 2017

Equity Derivatives

• An adjoint method for the exact calibration of Stochastic Local Volatility models. M.Wins, K.J.in 't Hout.

  Journal of Computational Science, Volume 24, 2018

• Discretization of class of diffusions nonlinear in the sense of McKean including the calibrated LVSV model. B. Jourdain, A. Zhou

• On an efficient multiple time-step Monte Carlo simulation of the SABR model. A. Leitao, L.A. Grzelak, C.W. Oosterlee

  Applied Mathematics and Computation, Vol. 293, 2017

• Robust Barrier Option Pricing by Frame Projection under Exponential Levy Dynamics. J.L. Kirkby

  Applied Mathematical Finance, Volume 24, Issue 4, 2017

• Ultra-Fast Pricing Barrier Options and CDSs. S.Levendorskii

  International Journal of Theoretical and Applied Finance, 20(5), 2017

• Efficient Binomial tree for the discretization of the CEV model. L.Caramellino, E.Lombardo.

• 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.