Nicolas Langrené

Available identifiers

zbMath Open langrene.nicolasMaRDI QIDQ2120591

List of research outcomes

Publication	Date of Publication	Type
Simultaneous upper and lower bounds of American option prices with hedging via neural networks	2023-02-23	Paper
Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility	2022-08-03	Paper
Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications	2022-06-03	Paper
Portfolio optimization with a prescribed terminal wealth distribution	2022-04-05	Paper
Robust utility maximization under model uncertainty via a penalization approach	2022-04-01	Paper
Fast and Stable Multivariate Kernel Density Estimation by Fast Sum Updating	2022-03-28	Paper
Fast multivariate empirical cumulative distribution function with connection to kernel density estimation	2021-11-09	Paper
Deep Semi-Martingale Optimal Transport	2021-03-05	Paper
Deep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis	2021-02-23	Paper
Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach	2019-09-26	Paper
Switching to nonaffine stochastic volatility: a closed-form expansion for the inverse gamma model	2016-08-26	Paper
Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps	2015-07-27	Paper
A probabilistic numerical method for optimal multiple switching problems in high dimension	2015-01-20	Paper
A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization	2014-06-30	Paper
A structural risk-neutral model for pricing and hedging power derivatives	2013-09-04	Paper

Research outcomes over time

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