Search Results - "Goudenège, Ludovic"

Numerical and convergence analysis of the stochastic Lagrangian averaged Navier–Stokes equations by Doghman, Jad, Goudenège, Ludovic

“…The primary emphasis of this work is the development of a finite element based space–time discretization for solving the stochastic Lagrangian averaged…”
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Likelihood-based non-Markovian models from molecular dynamics by Vroylandt, Hadrien, Goudenège, Ludovic, Monmarché, Pierre, Pietrucci, Fabio, Rotenberg, Benjamin

“…SignificanceThe analysis of complex systems with many degrees of freedom generally involves the definition of low-dimensional collective variables more…”
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Stochastic phase field α-Navier-Stokes vesicle-fluid interaction model by Goudenège, Ludovic, Manca, Luigi

“…We consider a stochastic perturbation of the phase field alpha-Navier-Stokes model with vesicle-fluid interaction. It consists in a system of nonlinear…”
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Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem by Goudenège, Ludovic, Molent, Andrea, Zanette, Antonino

“…Evaluating moving average options is a tough computational challenge for the energy and commodity mar-ket as the payo˙ of the option depends on the prices of a…”
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Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models by Goudenège, Ludovic, Molent, Andrea, Zanette, Antonino

“…In this paper we propose two efficient techniques which allow one to compute the price of American basket options. In particular, we consider a basket of…”
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Weak convergence rates of splitting schemes for the stochastic Allen–Cahn equation by Bréhier, Charles-Edouard, Goudenège, Ludovic

“…This article is devoted to the analysis of the weak rates of convergence of schemes introduced by the authors in a recent work, for the temporal discretization…”
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Backward hedging for American options with transaction costs by Goudenège, Ludovic, Molent, Andrea, Zanette, Antonino

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Stochastic Cahn–Hilliard equation with singular nonlinearity and reflection by GOUDENEGE, Ludovic

“…We consider a stochastic partial differential equation with logarithmic (or negative power) nonlinearity, with one reflection at 0 and with a constraint of…”
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Asymptotic properties of stochastic Cahn–Hilliard equation with singular nonlinearity and degenerate noise by Goudenège, Ludovic, Manca, Luigi

“…We consider a stochastic partial differential equation with a logarithmic nonlinearity with singularities at 1 and −1 and a constraint of conservation of the…”
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Computing credit valuation adjustment solving coupled PIDEs in the Bates model by Goudenège, Ludovic, Molent, Andrea, Zanette, Antonino

“…Credit Value Adjustment is the charge applied by financial institutions to the counter-party to cover the risk of losses on a counterpart default event. In…”
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Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate by Goudenège, Ludovic, Molent, Andrea, Zanette, Antonino

“…In this paper, we investigate value and Greeks computation of a guaranteed minimum withdrawal benefit (GMWB) variable annuity, when both stochastic volatility…”
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Pricing and hedging GMWB in the Heston and in the Black–Scholes with stochastic interest rate models by Goudenege, Ludovic, Molent, Andrea, Zanette, Antonino

“…In this paper, we approach the problem of valuing a particular type of variable annuity called GMWB when advanced stochastic models are considered. As remarked…”
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UNBIASEDNESS OF SOME GENERALIZED ADAPTIVE MULTILEVEL SPLITTING ALGORITHMS by Bréhier, Charles-Edouard, Gazeau, Maxime, Goudenège, Ludovic, Lelièvre, Tony, Rousset, Mathias

“…We introduce a generalization of the Adaptive Multilevel Splitting algorithm in the discrete time dynamic setting, namely when it is applied to sample rare…”
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Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models by Goudenège, Ludovic, Molent, Andrea, Zanette, Antonino

“…Valuing Guaranteed Lifelong Withdrawal Benefit (GLWB) has attracted significant attention from both the academic field and real world financial markets. As…”
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A Wright–Fisher model with indirect selection by Goudenège, Ludovic, Zitt, Pierre-André

“…We study a generalization of the Wright–Fisher model in which some individuals adopt a behavior that is harmful to others without any direct advantage for…”
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Numerical methods for piecewise deterministic Markov processes with boundary by Cocozza-Thivent, Christiane, Eymard, Robert, Goudenège, Ludovic, Roussignol, Michel

“…We study the approximation of the distribution of Piecewise Deterministic Markov Processes jumping when the process reaches some boundary of the domain. We…”
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High Order Finite Element Calculations for the Cahn-Hilliard Equation by Goudenège, Ludovic, Martin, Daniel, Vial, Grégory

“…In this work, we propose a numerical method based on high degree continuous nodal elements for the Cahn-Hilliard evolution. The use of the p -version of the…”
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Numerical methods for piecewise deterministic Markov processes with boundary by Dhersin, Jean-Stéphane, Goudenège, Ludovic

“…In this paper is described the general aspect of a numerical method for piecewise deterministic Markov processes with boundary. Under very natural hypotheses,…”
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Statistical and probabilistic modeling of a cloud of particles coupled with a turbulent fluid by Goudenège, Ludovic, Larat, Adam, Llobell, Julie, Massot, Marc, Mercier, David, Thomine, Olivier, Vié, Aymeric

“…This paper exposes a novel exploratory formalism, the end goal of which is the numerical simulation of the dynamics of a cloud of particles weakly or strongly…”
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Computing XVA for American basket derivatives by Machine Learning techniques by Goudenege, Ludovic, Molent, Andrea, Zanette, Antonino

“…Total value adjustment (XVA) is the change in value to be added to the price of a derivative to account for the bilateral default risk and the funding costs…”
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