Section: New Software and Platforms

Platforms

Development of the quantitative platform Premia in 2018

Premia 20 has been delivered to the Consortium Premia on March 12th. It contains the following new algorithms :

Optimal Trade Execution, Risk Management, Insurance

• Optimal Execution Under Jump Models For Uncertain Price Impact. S.Moazeni, T.F.Coleman, Y.Li

  The Journal of Computational Finance. Vol. 18, Issue 3, 2015.

• Nested Monte Carlo for Risk Margin computation. L.A. Abbas-Turki, S.Crepey, B.Diallo.

• Efficient Estimation of Sensitivities for Counterparty Credit Risk with the Finite Difference Monte-Carlo Method. C. S.L. de Graaf, D.Kandhai, P.M.A.Sloot.

  The Journal of Computational Finance, Volume 21, Issue 1, 2017.

• Nested Simulation in Portfolio Risk Measurement. M.B.Gordy, S.Juneja

  Management Science, Vol 56, Issue 10, 2010

• Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits. R. Feng, H.W. Volkmer

  ASTIN Bull., 44(3), 2014

• Fast computation of risk measures for variable annuities with additional earnings by conditional moment matching. N. Privault X.Wei

  ASTIN Bull., 48(1):171–196, 2018.

Equity Derivatives

• Pricing under Rough volatility. C. Bayer, P.Friz, J. Gatheral

  Quantitative Finance, Vol. 16, No. 6, 887-904, 2016.

• Hybrid scheme for Brownian semistationary processes. M. Bennedsen, A. Lunde, M.S.Pakkanen

  Finance and Stochastics 21(4), 931–965, 2017.

• Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation. M. B. Giles and L. Szpruch

  The Annals of Applied Probability, Vol. 24, No. 4, 2014

• Fourier transform algorithms for pricing and hedging discretely sampled exotic variance products and volatility derivatives under additive processes. W. Zheng and Y. K. Kwok

  The Journal of Computational Finance, Volume 18, Issue 2, 2014.

• Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials. A.Iktin

  The Journal of Computational Finance, Volume 19, Issue 3, 2016

• High-Order Splitting Methods for Forward PDEs and PIDEs. A.Iktin

  International Journal of Theoretical and Applied Finance, 18(5), 2015

• Pricing Bullet option on local volatility model using GPU L.A. Abbas-Turki

• Pricing Bermudan Options via Multilevel Approximation Methods. D. Belomestny, F. Dickmann, T.Nagapetyan.

  Siam J. Financial Math., Volume 6, 2015.

• Pricing CIR yield options by conditional moment matching. A. Prayoga N. Privault

  Asia-Pacific Financial Markets, 24:19–38, 2017

We benefit from the help of the engineer Pierre-Guillaume Raverdy.