:: Library Catalog

Cover Image

Saved in:

Bibliographic Details
Main Authors:	Boumezoued, Alexandre, Cherchali, Adel, Lemaire, Vincent, Pagès, Gilles, Truc, Mathieu
Format:	Preprint
Published:	2025
Subjects:	Computational Finance Risk Management 65C05 (Primary) 91G60 (Secondary)
Online Access:	https://arxiv.org/abs/2510.18995
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

A deep BSDE approach for the simultaneous pricing and delta-gamma hedging of large portfolios consisting of high-dimensional multi-asset Bermudan options
by: Negyesi, Balint, et al.
Published: (2025)

Single- and Multi-Level Fourier-RQMC Methods for Multivariate Shortfall Risk
by: Hammouda, Chiheb Ben, et al.
Published: (2026)

Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall
by: Crépey, Stéphane, et al.
Published: (2023)

Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks
by: Scoleri, Stefano, et al.
Published: (2026)

Risk-aware Trading Portfolio Optimization
by: Bianchetti, Marco, et al.
Published: (2025)

Quantifying Crypto Portfolio Risk: A Simulation-Based Framework Integrating Volatility, Hedging, Contagion, and Monte Carlo Modeling
by: Firouzi, Kiarash
Published: (2025)

A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation
by: Crépey, Stéphane, et al.
Published: (2023)

Adaptive Multilevel Stochastic Approximation of the Value-at-Risk
by: Crépey, Stéphane, et al.
Published: (2024)

Calibration of the rating transition model for high and low default portfolios
by: He, Jian, et al.
Published: (2024)

Jointly Exchangeable Collective Risk Models: Interaction, Structure, and Limit Theorems
by: Gaigall, Daniel, et al.
Published: (2025)

Autonomous AI Agents for Option Hedging: Enhancing Financial Stability through Shortfall Aware Reinforcement Learning
by: Hu, Minxuan, et al.
Published: (2026)

Credit Spreads' Term Structure: Stochastic Modeling with CIR++ Intensity
by: Alaya, Mohamed Ben, et al.
Published: (2024)

Deep Hedging to Manage Tail Risk
by: Ma, Yuming
Published: (2025)

Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis
by: Bianchetti, Marco, et al.
Published: (2015)

Closed-form solutions for VIX derivatives in a Legendre empirical model
by: Wang, Ying-Li, et al.
Published: (2023)

Efficient simulation of a new class of Volterra-type SDEs
by: Bonesini, Ofelia, et al.
Published: (2023)

Comparative Evaluation of VaR Models: Historical Simulation, GARCH-Based Monte Carlo, and Filtered Historical Simulation
by: Tian, Xin
Published: (2025)

Optimal risk mitigation by deep reinsurance
by: Arandjelović, Aleksandar, et al.
Published: (2024)

Measuring Financial Resilience Using Backward Stochastic Differential Equations
by: Laeven, Roger J. A., et al.
Published: (2025)

Black-Scholes Model, comparison between Analytical Solution and Numerical Analysis
by: Romaggi, Francesco
Published: (2025)

Optimal Betting: Beyond the Long-Term Growth
by: Hakobyan, Levon, et al.
Published: (2025)

Replica del valor de un pool (CPM) y hedging de perdidas impermanentes
by: González, Agustín Muñoz, et al.
Published: (2024)

Levy-stable scaling of risk and performance functionals
by: Vlasiuk, Dmitrii
Published: (2025)

Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask
by: Silotto, Lorenzo, et al.
Published: (2021)

Generalized Families of Fractional Stochastic Dominance
by: Azmoodeh, Ehsan, et al.
Published: (2023)

From Classical Optimization to Bayesian Integration: A Comprehensive Analysis of Systematic Portfolio Management
by: Verma, Ajay Kumar, et al.
Published: (2026)

Rough Martingale Optimal Transport: Theory, Implementation, and Regulatory Applications for Non-Modelable Risk Factors
by: B., Sri Sairam Gautam, et al.
Published: (2026)

Realized Local Volatility Surface
by: Ma, Yuming, et al.
Published: (2025)

Accelerated Computations of Sensitivities for xVA
by: Deelstra, Griselda, et al.
Published: (2022)

Sharp Large Deviations and Gibbs Conditioning for Threshold Models in Portfolio Credit Risk
by: Deng, Fengnan, et al.
Published: (2025)

Faster Forward Sensitivities: Reduced stochastic hedge ratios from pathwise algorithmic differentiation
by: Fries, Christian P
Published: (2026)

Beyond Picking Winners: Correlation-Driven Tail Risk in Venture Capital Portfolio Construction
by: Liang, Yunqi, et al.
Published: (2026)

Decrease of capital guarantees in life insurance products: can reinsurance stop it?
by: Escobar-Anel, Marcos, et al.
Published: (2021)

Impact of Climate transition on Credit portfolio's loss with stochastic collateral
by: Sopgoui, Lionel
Published: (2024)

The Black-Scholes-Merton dual equation
by: Guo, Shuxin, et al.
Published: (2019)

Robust Bernoulli Mixture Models for Credit Portfolio Risk
by: Ansari, Jonathan, et al.
Published: (2024)

Nested Optimal Transport Distances
by: Bontorno, Ruben, et al.
Published: (2025)

Hilbert Space-Valued LQ Mean Field Games: An Infinite-Dimensional Analysis
by: Liu, Hanchao, et al.
Published: (2024)

On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model
by: Gnabeyeu, Emmanuel, et al.
Published: (2025)

On Data-Driven Drawdown Control with Restart Mechanism in Trading
by: Hsieh, Chung-Han
Published: (2023)