Goudenège, Ludovic

1. Machine Learning for Pricing American Options in High-Dimensional\n Markovian and non-Markovian models
   2019/05/22 by Ludovic Goudenège, Andrea Molent, Goudenège, Ludovic +3 · 3 citations
   Computer Science · Economics, Econometrics and Finance · Engineering · #Computational Finance (q-fin.CP) #FOS: Economics and business #Gaussian Processes and Bayesian Inference #Pricing of Securities (q-fin.PR) #Reservoir Engineering and Simulation Methods #Stochastic processes and financial applications
2. Numerical approximation of SDEs with fractional noise and distributional drift
   2023/02/22 by Goudenège, Ludovic, Haress, El Mehdi, Richard, Alexandre · 2 citations
   #34A06 #60G22 #60H10 #60H50 #65C30 #FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR)
3. Weak convergence rates of splitting schemes for the stochastic Allen-Cahn equation
   2018/04/11 by Bréhier, Charles-Edouard, Goudenège, Ludovic · 2 citations
   #60H15 #60H35 #65C30 #FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR)
4. Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate
   2019/03/01 by Goudenège, Ludovic, Molent, Andrea, Zanette, Antonino · 1 citation
   #Computational Finance (q-fin.CP) #FOS: Economics and business
5. Moving average options: Machine Learning and Gauss-Hermite quadrature for a double non-Markovian problem
   2021/08/25 by Goudenège, Ludovic, Molent, Andrea, Zanette, Antonino · 1 citation
   #Computational Finance (q-fin.CP) #FOS: Economics and business