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The journal of computational finance
Decisions in economics and finance : DEF ; a journal of applied mathematics
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Numerical techniques for the Heston collocated volatility model
Le Floc'h, Fabien
;
Oosterlee, Cornelis Willebrordus
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 59-110
Persistent link: https://www.econbiz.de/10012544158
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2
An adaptive Filon quadrature for stochastic volatility models
Le Floc'h, Fabien
- In:
The journal of computational finance
22
(
2018
)
3
,
pp. 65-88
Persistent link: https://www.econbiz.de/10011988193
Saved in:
3
Finite difference techniques for arbitrage-free SABR
Le Floc'h, Fabien
;
Kennedy, Gary
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 51-79
Persistent link: https://www.econbiz.de/10011689679
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