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Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate
15 references·0 citing·42 second hop
Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate (2019)Gaussian Process Regression for Pricing V…Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models (2020)Machine learning for pricing …Machine Learning for Quantitative Finance: Fast Derivative Pricing, Hedging and Fitting (2018)Machine Learning for Quantita…Kriging metamodels and experimental design for Bermudan option pricing (2018)Kriging metamodels and experi…Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach (2017)Efficient Greek Calculation o…Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models (2016)Pricing and hedging GLWB in t…Valuation of large variable annuity portfolios under nested simulation: A functional data approach (2015)Valuation of large variable a…An optimal stochastic control framework for determining the cost of hedging of variable annuities (2014)An optimal stochastic control…Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility (2013)Valuing guaranteed withdrawal…Application of Data Clustering and Machine Learning in Variable Annuity Valuation (2013)Application of Data Clusterin…Variable annuities: A unifying valuation approach (2011)Variable annuities: A unifyin…Variable Annuities: A Unifying Valuation Approach (2011)Variable Annuities: A Unifyin…A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) (2008)A numerical scheme for the im…Interest rate models : theory and practice : with smile, inflation and credit (2006)Interest rate models : theory…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Simple Binomial Processes as Diffusion Approximations in Financial Models (1990)Simple Binomial Processes as …The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Rational Prepayment and the Valuation of Mortgage-Backed Securities (1995)A Regime-Switching Model of Long-Term Stock Returns (2001)Option pricing and Esscher transform under regime switching (2005)Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees (2015)The Existence of Optimal Bang-Bang Controls for GMxB Contracts (2015)Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate (2017)European Option Pricing with Transaction Costs (1993)Derivatives: The Theory and Practice of Financial Engineering (1998)Financial Modelling with Jump Processes (2003)The effect of modelling parameters on the value of GMWB guarantees (2008)Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities (2015)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models (2020)Artificial intelligence and machine learning in finance: Identifying foundations, themes, and research clusters from bibliometric analysis (2021)Machine learning sentiment analysis, COVID-19 news and stock market reactions (2023)Option pricing: A simplified approach (1979)Pricing American-style securities using simulation (1997)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Short-dated smile under rough volatility: asymptotics and numerics (2021)Pricing Options under Rough Volatility with Backward SPDEs (2022)Pricing cryptocurrency options with machine learning regression for handling market volatility (2024)The pricing of equity-linked life insurance policies with an asset value guarantee (1976)Dynamic Asset Pricing Theory. (1993)A regression-based Monte Carlo method to solve backward stochastic differential equations (2005)An Introduction to Applied Geostatistics (1991)Regression Modeling for the Valuation of Large Variable Annuity Portfolios (2016)Moment matching machine learning methods for risk management of large variable annuity portfolios (2017)Stochastic Kriging for Simulation Metamodeling (2009)A neural network approach to efficient valuation of large portfolios of variable annuities (2016)Kriging of financial term-structures (2016)Implied Binomial Trees (1994)Testing Continuous-Time Models of the Spot Interest Rate (1996)Handbook of Financial Engineering (2008)COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (2009)ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2012)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2006Interest rate models : theory and practice : with smile, inflation and credit742 cited
  • 1990Simple Binomial Processes as Diffusion Approximations in Financial Models379 cited
  • 2011Variable annuities: A unifying valuation approach176 cited
  • 2018Machine Learning for Quantitative Finance: Fast Derivative Pricing, Hedging and Fitting158 cited
  • 2008A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)108 cited
  • 2013Application of Data Clustering and Machine Learning in Variable Annuity Valuation99 cited
  • 2015Valuation of large variable annuity portfolios under nested simulation: A functional data approach71 cited
  • 2020Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models61 cited
  • 2014An optimal stochastic control framework for determining the cost of hedging of variable annuities53 cited
  • 2018Kriging metamodels and experimental design for Bermudan option pricing43 cited
  • 2011Variable Annuities: A Unifying Valuation Approach40 cited
  • 2017Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach38 cited
  • 2013

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Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
24 cited
  • 2016Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models18 cited
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