Cyril Bénézet
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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 |
|---|---|---|
| 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
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