Nicolas Langrené

1. Deep Least Squares Monte Carlo methods for the valuation of variable annuities with guarantees
   2026/05/26 by Nicolas Langrené, Xiaolin Luo, Pavel V. Shevchenko +1 · 1 voice
   Economics, Econometrics and Finance · #q-fin.PR #q-fin.CP
2. A deep learning approach for pricing convertible bonds with path-dependent reset and call provisions
   2026/05/12 by Qinwen Zhu, Wen Chen, Nicolas Langrené · 1 voice
   Economics, Econometrics and Finance · #q-fin.PR #q-fin.CP
3. Fast simulation of Volterra processes using random Fourier features with application to the log-stationary fractional Brownian motion
   2026/03/03 by Othmane Zarhali, Langrené, Nicolas, Nicolas Langrené · 1 voice
   Decision Sciences · Economics, Econometrics and Finance · Engineering · Mathematics · #Control Systems and Identification #Exponential function #Fourier transform #Fractional Brownian motion #Kernel (algebra) #Kernel method #Laplace transform #Monte Carlo method #Probabilistic and Robust Engineering Design #Stability (learning theory) #Stochastic process #Stochastic processes and financial applications #math.NA #math.PR #q-fin.MF