Nicolas Langrené

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Person:2120591

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zbMath Open langrene.nicolasMaRDI QIDQ2120591

List of research outcomes

PublicationDate of PublicationType
Simultaneous upper and lower bounds of American option prices with hedging via neural networks2023-02-23Paper
Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility2022-08-03Paper
Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications2022-06-03Paper
Portfolio optimization with a prescribed terminal wealth distribution2022-04-05Paper
Robust utility maximization under model uncertainty via a penalization approach2022-04-01Paper
Fast and Stable Multivariate Kernel Density Estimation by Fast Sum Updating2022-03-28Paper
Fast multivariate empirical cumulative distribution function with connection to kernel density estimation2021-11-09Paper
Deep Semi-Martingale Optimal Transport2021-03-05Paper
Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Convergence Analysis2021-02-23Paper
Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach2019-09-26Paper
SWITCHING TO NONAFFINE STOCHASTIC VOLATILITY: A CLOSED-FORM EXPANSION FOR THE INVERSE GAMMA MODEL2016-08-26Paper
Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps2015-07-27Paper
A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension2015-01-20Paper
A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization2014-06-30Paper
A STRUCTURAL RISK-NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES2013-09-04Paper

Research outcomes over time


Doctoral students

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