N°22-71: Pricing Autocallables under Local-Stochastic Volatility
Nº 22-07: Sparse and Stable International Portfolio Optimization and Currency Risk Management
Nº 22-03: Accelerated American Option Pricing with Deep Neural Networks
Nº 21-60: Dynamic Currency Hedging with Non-Gaussianity and Ambiguity
Nº 20-73: Ambiguity, Optimal Currency Overlay, and Home Currency Bias