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~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"Journal of financial economics"
~language:"eng"
~language:"msa"
~person:"Kirkby, J. Lars"
~subject:"Stochastic process"
~type_genre:"Article in journal"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Case study"
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Kirkby, J. Lars
Escudero, Laureano F.
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European journal of operational research : EJOR
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ECONIS (ZBW)
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1
Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
Kirkby, J. Lars
- In:
European journal of operational research : EJOR
305
(
2023
)
2
,
pp. 961-978
Persistent link: https://www.econbiz.de/10013482166
Saved in:
2
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
290
(
2021
)
3
,
pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
Saved in:
3
A general framework for time-changed Markov processes and applications
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
273
(
2019
)
2
,
pp. 785-800
Persistent link: https://www.econbiz.de/10011987591
Saved in:
4
A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
262
(
2017
)
1
,
pp. 381-400
Persistent link: https://www.econbiz.de/10011785790
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