Risk management with local least squares Monte Carlo

DOI10.1017/ASB.2023.25zbMATH Open1545.91325MaRDI QIDQ6569736FDOQ6569736

Authors Donatien Hainaut, Adnane Akbaraly 

Publication date 9 July 2024

Published in ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

risk managementoption valuationleast square Monte Carlo

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Actuarial mathematics (91G05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites Work

• scientific article; zbMATH DE number 6381735 (Why is no real title available?)
• scientific article; zbMATH DE number 3340881 (Why is no real title available?)
• scientific article; zbMATH DE number 3069580 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A least-squares Monte Carlo approach to the estimation of enterprise risk
• An analysis of a least squares regression method for American option pricing
• Continuous time processes for finance. Switching, self-exciting, fractional and other recent dynamics
• Efficient valuation of SCR via a neural network approach
• Inside the Solvency 2 black box: net asset values and solvency capital requirements with a least-squares Monte-Carlo approach
• Neural network regression for Bermudan option pricing
• Number of paths versus number of basis functions in American option pricing
• On the calculation of the solvency capital requirement based on nested simulations
• On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
• Pricing life insurance contracts with early exercise features
• Quantitative risk management. Concepts, techniques and tools
• Regression-based algorithms for life insurance contracts with surrender guarantees
• The difference between LSMC and replicating portfolio in insurance liability modeling
• The planar \(k\)-means problem is NP-hard

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