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Quelques algorithmes rapides pour la finance quantitative

Abstract : In this thesis, we will focus on the critical node of the computation of counterparty credit risk, the fast evaluation of financial derivatives and their sensitivities. We propose several mathematical and computer-based methods to address this issue. We have contributed to four areas: an extension of the Vibrato method and an application of the weighted multilevel Monte Carlo for the computation of the greeks for high order derivatives n>1 with automatic differentiation. The third contribution concerns the evaluation of American style option, here we use a parareal scheme to speed up the assessing process and we made an application for solving backward stochastic differential equations. The last contribution is the conception of an efficient computation engine for financial derivatives with a parallel architecture.
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Submitted on : Saturday, June 23, 2018 - 1:01:37 AM
Last modification on : Saturday, May 28, 2022 - 3:09:28 AM
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  • HAL Id : tel-01821874, version 1


Guillaume Sall. Quelques algorithmes rapides pour la finance quantitative. Algorithme et structure de données [cs.DS]. Université Pierre et Marie Curie - Paris VI, 2017. Français. ⟨NNT : 2017PA066474⟩. ⟨tel-01821874⟩



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