Search Results - "Hainaut, Donatien"

Deep Learning for High-Dimensional Continuous-Time Stochastic Optimal Control Without Explicit Solution.

Authors: Dupret, Jean-Loup Hainaut, Donatien

Source: Operations Research. May/Jun2026, Vol. 74 Issue 3, p1241-1262. 22p.

Optimal control by policy iterations and constrained Gaussian process regressions.

Authors: Hainaut, Donatien Dupret, Jean-Loup

Source: European Journal of Operational Research; Apr2026, Vol. 330 Issue 2, p525-539, 15p

The rough Hawkes process.

Authors: Hainaut, Donatien Chen, Jing Scalas, Enrico

Source: Communications in Statistics: Theory & Methods. 2025, Vol. 54 Issue 11, p3322-3349. 28p.

Optimal liquidation under indirect price impact with propagator.

Authors: Dupret, Jean-Loup Hainaut, Donatien

Source: Quantitative Finance. Mar2025, Vol. 25 Issue 3, p359-381. 23p.

Insurance Analytics with Clustering Techniques.

Authors: Jamotton, Charlotte Hainaut, Donatien Hames, Thomas

Source: Risks. Sep2024, Vol. 12 Issue 9, p141. 28p.

A mutually exciting rough jump-diffusion for financial modelling.

Authors: Hainaut, Donatien¹ (AUTHOR) donatien.hainaut@uclouvain.be

Source: Fractional Calculus & Applied Analysis. Feb2024, Vol. 27 Issue 1, p319-352. 34p.

Acknowledgement.

Source: International Journal of Computer Mathematics. December 2017, Vol. 94 Issue 12, p2573-2577. 5p.

Risk management with local least squares Monte Carlo.

Authors: Hainaut, Donatien Akbaraly, Adnane

Source: Astin Bulletin. Sep2023, Vol. 53 Issue 3, p489-514. 26p.

Valuation of guaranteed minimum accumulation benefits (GMABs) with physics-inspired neural networks.

Authors: Hainaut, Donatien¹ (AUTHOR) donatien.hainaut@uclouvain.be

Source: Annals of Actuarial Science. Jul2024, Vol. 18 Issue 2, p442-473. 32p.

Option pricing in the Heston model with physics inspired neural networks.

Authors: Hainaut, Donatien Casas, Alex

Source: Annals of Finance. Sep2024, Vol. 20 Issue 3, p353-376. 24p.

A subdiffusive stochastic volatility jump model.

Authors: Dupret, Jean-Loup Hainaut, Donatien

Source: Quantitative Finance. Jun2023, Vol. 23 Issue 6, p979-1002. 24p.

A calendar year mortality model in continuous time.

Authors: Hainaut, Donatien¹ (AUTHOR) donatien.hainaut@uclouvain.be

Source: Astin Bulletin. May2023, Vol. 53 Issue 2, p351-376. 26p.

Valuation of Annuity Guarantees Under a Self-Exciting Switching Jump Model.

Authors: Njike Leunga, Charles Guy Hainaut, Donatien

Source: Methodology & Computing in Applied Probability. Jun2022, Vol. 24 Issue 2, p963-990. 28p.

Response versus gradient boosting trees, GLMs and neural networks under Tweedie loss and log-link.

Authors: Hainaut, Donatien Trufin, Julien Denuit, Michel

Source: Scandinavian Actuarial Journal. Dec2022, Vol. 2022 Issue 10, p841-866. 26p.

Affine Heston model style with self-exciting jumps and long memory.

Authors: Njike Leunga, Charles Guy Hainaut, Donatien

Source: Annals of Finance. Mar2024, Vol. 20 Issue 1, p1-43. 43p.

PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES.

Authors: DUPRET, JEAN-LOUP HAINAUT, DONATIEN

Source: International Journal of Theoretical & Applied Finance. Sep/Nov2021, Vol. 24 Issue 6n7, p1-35. 35p.

WAVELET-BASED FEATURE EXTRACTION FOR MORTALITY PROJECTION.

Authors: Hainaut, Donatien Denuit, Michel

Source: Astin Bulletin. Sep2020, Vol. 50 Issue 3, p675-707. 33p.

INTERBANK CREDIT RISK MODELING WITH SELF-EXCITING JUMP PROCESSES.

Authors: LEUNGA, CHARLES GUY NJIKE HAINAUT, DONATIEN

Source: International Journal of Theoretical & Applied Finance. Sep2020, Vol. 23 Issue 6, pN.PAG-N.PAG. 32p.

CDS pricing with fractional Hawkes processes.

Authors: Ketelbuters, John-John Hainaut, Donatien

Source: European Journal of Operational Research; Mar2022, Vol. 297 Issue 3, p1139-1150, 12p

A self-exciting switching jump diffusion: properties, calibration and hitting time.

Authors: Hainaut, Donatien Deelstra, Griselda

Source: Quantitative Finance. Mar2019, Vol. 19 Issue 3, p407-426. 20p. 3 Charts, 5 Graphs.