Cyril Bénézet

MaRDI QIDQ2066957zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
The recalibration conundrum: hedging valuation adjustment for callable claims International Journal of Theoretical and Applied Finance	2026-02-23	Paper
Learning conditional distributions on continuous spaces Journal of Machine Learning Research (JMLR)	2025-12-09	Paper
Handling model risk with XVAs Frontiers of Mathematical Finance	2025-02-18	Paper
An optimal transport approach for the multiple quantile hedging problem (available as arXiv preprint)	2025-01-01	Paper
An optimal transport approach for the multiple quantile hedging problem	2023-08-02	Paper
Transform MCMC schemes for sampling intractable factor copula models Methodology and Computing in Applied Probability	2023-07-04	Paper
Hedging Valuation Adjustment for Callable Claims	2023-04-04	Paper
Hedging Valuation Adjustment and Model Risk	2022-05-24	Paper
Switching problems with controlled randomisation and associated obliquely reflected BSDEs Stochastic Processes and their Applications	2022-01-17	Paper
A numerical scheme for the quantile hedging problem SIAM Journal on Financial Mathematics	2021-03-11	Paper
A sparse grid approach to balance sheet risk measurement ESAIM: Proceedings and Surveys	2019-07-11	Paper

Research outcomes over time

This page was built for person: Cyril Bénézet