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Nicolas Langren\'e

Identifiers

  • name variant Nicolas Langren\'e 0.60 · backfill

Papers (9)

  1. Deep Least Squares Monte Carlo methods for the valuation of variable annuities with guarantees q-fin.PR · 2026 · author #1
  2. A deep learning approach for pricing convertible bonds with path-dependent reset and call provisions q-fin.PR · 2026 · author #3
  3. Fast simulation of Volterra processes using random Fourier features with application to the log-stationary fractional Brownian motion q-fin.MF · 2026 · author #2
  4. Scalable method for mean field control with kernel interactions via random Fourier features math.OC · 2026 · author #3
  5. Explicit approximations of option prices via Malliavin calculus in a general stochastic volatility framework q-fin.MF · 2020 · author #2
  6. Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization q-fin.PM · 2018 · author #2
  7. Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method q-fin.PM · 2017 · author #2
  8. Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach q-fin.PM · 2016 · author #2
  9. Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model q-fin.CP · 2015 · author #1

Mentions

  • 1507.02847 #1 · backfill · confidence 0.70 Nicolas Langren\'e
  • 2006.01542 #2 · arxiv_oai · confidence 0.70 Nicolas Langren\'e
  • 2605.27182 #1 · arxiv_oai · confidence 0.70 Nicolas Langren\'e
  • 2603.02946 #2 · arxiv_oai · confidence 0.70 Nicolas Langren\'e
  • 2601.01175 #3 · arxiv_oai · confidence 0.70 Nicolas Langren\'e

Frequent Coauthors