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Modeling and computing the adjustment of IM in pricing/hedging derivatives

 Ankush Agarwal , Florian Bourgey , Emmanuel Gobet , Jose Lopez-Salas , Stefano de Marco , et al.
Quant Minds, May 2019, Vienna, Austria
Communication dans un congrès hal-04506696v1

Sensitivity Analysis Methodology for Extreme Financial Risks Using Splitting Methods based on Reversible Transformations

 Emmanuel Gobet , Ankush Agarwal , Gang Liu , Stefano de Marco
SIAM Conference on Uncertainty Quantification, Apr 2022, Atlanta, United States
Communication dans un congrès hal-04507009v1
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Rare event simulation related to financial risks: efficient estimation and sensitivity analysis

 Ankush Agarwal , Stefano de Marco , Emmanuel Gobet , Gang Liu
2017
Pré-publication, Document de travail hal-01219616v2
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Branching diffusion representation of semi-linear elliptic PDEs and estimation using Monte Carlo method

 Ankush Agarwal , Julien Claisse
Stochastic Processes and their Applications, 2020, ⟨10.1016/j.spa.2020.02.009⟩
Article dans une revue hal-01709033v1
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Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements

 Ankush Agarwal , Stefano de Marco , Emmanuel Gobet , José G López-Salas , Fanny Noubiagain , et al.
ESAIM: Proceedings and Surveys, 2019, 65, pp.1-26. ⟨10.1051/proc/201965001⟩
Article dans une revue hal-01686952v3
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Study of new rare event simulation schemes and their application to extreme scenario generation

 Ankush Agarwal , Stefano de Marco , Emmanuel Gobet , Gang Liu
Mathematics and Computers in Simulation, 2018, 143, pp.89-98. ⟨10.1016/j.matcom.2017.05.004⟩
Article dans une revue hal-01249625v1
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Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio

 Ankush Agarwal , Ronnie Sircar
2017
Pré-publication, Document de travail hal-01388399v2
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