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Found 4 papers, 0 papers with code
A monotone piecewise constant control integration approach for the two-factor uncertain volatility model
Numerical results show remarkable agreement with benchmark solutions obtained by unconditionally monotone finite differences, tree methods, and Monte Carlo simulation, underscoring the robustness and effectiveness of our method.
A semi-Lagrangian $ε$-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
We develop an efficient pricing approach for guaranteed minimum withdrawal benefits (GMWBs) with continuous withdrawals under a realistic modeling setting with jump-diffusions and stochastic interest rate.
A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models
A crucial element of the MV portfolio optimization formulation over each rebalancing interval is a convolution integral, which involves a conditional density of the logarithm of the amount invested in the risky asset.
Fourier Neural Network Approximation of Transition Densities in Finance
This paper introduces FourNet, a novel single-layer feed-forward neural network (FFNN) method designed to approximate transition densities for which closed-form expressions of their Fourier transforms, i. e. characteristic functions, are available.
