19 results
Machine Learning with High-Cardinality Categorical Features in Actuarial Applications
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- ASTIN Bulletin: The Journal of the IAA / Volume 54 / Issue 2 / May 2024
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- 11 April 2024, pp. 213-238
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- May 2024
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Convergence of the Kiefer–Wolfowitz algorithm in the presence of discontinuities
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- Advances in Applied Probability / Volume 55 / Issue 2 / June 2023
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- 23 September 2022, pp. 382-406
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- June 2023
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On the forward algorithm for stopping problems on continuous-time Markov chains
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- Journal of Applied Probability / Volume 58 / Issue 4 / December 2021
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- 22 November 2021, pp. 1043-1063
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- December 2021
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Solving high-dimensional optimal stopping problems using deep learning
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- European Journal of Applied Mathematics / Volume 32 / Issue 3 / June 2021
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- 27 April 2021, pp. 470-514
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Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models
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- Advances in Applied Probability / Volume 53 / Issue 1 / March 2021
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- 17 March 2021, pp. 220-250
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- March 2021
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Small-Time smile for the multifactor volatility heston model
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- Journal of Applied Probability / Volume 57 / Issue 4 / December 2020
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- 23 November 2020, pp. 1070-1087
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- December 2020
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Explicit asymptotics on first passage times of diffusion processes
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- Advances in Applied Probability / Volume 52 / Issue 2 / June 2020
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- 15 July 2020, pp. 681-704
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- June 2020
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PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY
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- The ANZIAM Journal / Volume 61 / Issue 4 / October 2019
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- 14 October 2019, pp. 382-397
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VALUATION OF CONTINGENT GUARANTEES USING LEAST-SQUARES MONTE CARLO
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- ASTIN Bulletin: The Journal of the IAA / Volume 49 / Issue 1 / January 2019
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- 01 March 2019, pp. 31-56
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- January 2019
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Recursive formula for the double-barrier Parisian stopping time
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- Journal of Applied Probability / Volume 55 / Issue 1 / March 2018
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- 28 March 2018, pp. 282-301
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- March 2018
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Finite Element and Discontinuous Galerkin Methods with Perfect Matched Layers for American Options
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- Numerical Mathematics: Theory, Methods and Applications / Volume 10 / Issue 4 / November 2017
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- 12 September 2017, pp. 829-851
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- November 2017
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Distribution of Discrete Time Delta-Hedging Error via a Recursive Relation
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- East Asian Journal on Applied Mathematics / Volume 6 / Issue 3 / August 2016
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- 20 July 2016, pp. 314-336
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- August 2016
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Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications
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- Journal of Applied Probability / Volume 52 / Issue 4 / December 2015
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- 30 March 2016, pp. 1076-1096
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- December 2015
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On spherical Monte Carlo simulations for multivariate normal probabilities
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- Advances in Applied Probability / Volume 47 / Issue 3 / September 2015
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- 21 March 2016, pp. 817-836
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- September 2015
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A Discontinuous Galerkin Method for Pricing American Options Under the Constant Elasticity of Variance Model
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- Communications in Computational Physics / Volume 17 / Issue 3 / March 2015
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- 24 March 2015, pp. 761-778
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- March 2015
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Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk
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- Journal of Applied Probability / Volume 50 / Issue 4 / December 2013
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- 30 January 2018, pp. 983-1005
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- December 2013
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Cross-Commodity Spot Price Modeling with Stochastic Volatility and Leverage For Energy Markets
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- Advances in Applied Probability / Volume 45 / Issue 2 / June 2013
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- 22 February 2016, pp. 545-571
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- June 2013
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Conditional Distributions of Processes Related to Fractional Brownian Motion
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- Journal of Applied Probability / Volume 50 / Issue 1 / March 2013
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- 30 January 2018, pp. 166-183
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- March 2013
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On the Monitoring Error of the Supremum of a Normal Jump Diffusion Process
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- Journal of Applied Probability / Volume 48 / Issue 4 / December 2011
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- 14 July 2016, pp. 1021-1034
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- December 2011
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