Andrea Molent

Available identifiers

zbMath Open molent.andreaMaRDI QIDQ1722757

List of research outcomes

Publication	Date of Publication	Type
Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem	2022-07-22	Paper
Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate	2021-08-10	Paper
Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models	2021-06-02	Paper
Computing credit valuation adjustment solving coupled PIDEs in the Bates model	2021-02-02	Paper
Taxation of a GMWB variable annuity in a stochastic interest rate model	2020-12-13	Paper
Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models	2019-02-18	Paper
Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models	2016-12-13	Paper

Research outcomes over time

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