1 code implementation • 26 Dec 2023 • Hervé Andrès, Alexandre Boumezoued, Benjamin Jourdain
Moreover, we show that up to four years of the past evolution of the underlying price should be used for the prediction and that this feedback effect gets weaker when the maturity increases.
no code implementations • 2 Aug 2022 • Hervé Andrès, Alexandre Boumezoued, Benjamin Jourdain
Motivated by insurance applications, we propose a new approach for the validation of real-world economic scenarios.
no code implementations • 29 Jan 2021 • Benjamin Jourdain, William Margheriti
Under a barycentre dispersion assumption on the original coupling which is in particular satisfied by the Hoeffding-Fr\'echet or comonotone coupling, Wiesel gives a clear algorithmic construction of a martingale rearrangement when the marginals are finitely supported and then gets rid of the finite support assumption by relying on a rather messy limiting procedure to overcome the lack of relative compactness.
Probability 60G42, 60E15, 91G80
no code implementations • 18 Dec 2020 • Benjamin Jourdain, Gilles Pagès
Quantization provides a very natural way to preserve the convex order when approximating two ordered probability measures by two finitely supported ones.
Quantization Probability 60E15, 65C50, 65D32, 60J22, 60G42
no code implementations • 17 Dec 2020 • Oumaima Bencheikh, Benjamin Jourdain
In \cite{xuberger}, Xu and Berger show that, apart when $\mu$ is a Dirac mass and the error vanishes, the order is not larger than $1$ and give a sufficient condition for the order to be equal to this threshold $1$ in terms of the density of the absolutely continuous with respect to the Lebesgue measure part of $\mu$.
Probability 49Q22, 60-08