Patrimony
The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).
Neural network regression for Bermudan option pricing.
Bermudan options, Deep learning, Neural networks, Optimal stopping, Regression methods
Quantization-based Bermudan option pricing in the FX world.
Bermudan Options, Foreign Exchange rates, Numerical method, Power Reverse Dual Currency, Product Optimal Quantization
A backward dual representation for the quantile hedging of Bermudan options.
Bermudan options, Quantile hedging, Stochastic target problems