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Search: subject:"Heston-Hull-White model"
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Option pricing theory
4
Optionspreistheorie
4
Stochastic process
4
Stochastischer Prozess
4
Volatility
4
Volatilität
4
Heston-Hull-White model
3
Interest rate
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Zins
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asymptotic expansion
2
Affine diffusion processes
1
American option
1
Experiment
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Finanzmathematik
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GMWB pricing
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Gaussian process regression
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Heston Hull–White model
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Heston-Hull White model
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Indexation provision
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Inflation
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LSM method
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Machine learning
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Malliavin calculus
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Mathematical finance
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Monte Carlo simulation
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Numerical analysis
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Numerical method
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Numerisches Verfahren
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Option trading
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Optionsgeschäft
1
Pension fund
1
Regression analysis
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Regressionsanalyse
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guaranteed annuity options
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stochastic interest rate
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stochastic volatility
1
stochastic volatility model
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English
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Bragt, David D.B. van
1
Goudenège, Ludovic
1
Grzelak, Lech A.
1
Kizaki, Keisuke
1
Mardani, Z.
1
Mehrdoust, F.
1
Molent, Andrea
1
Muroi, Yoshifumi
1
Nagami, Kenji
1
Oosterlee, Cornelis W.
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Samimi, O.
1
Sharafpour, S.
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Singor, Stefan N.
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Zanette, Antonino
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Asia-Pacific journal of risk and insurance : APJRI
1
Computational economics
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Decisions in economics and finance : a journal of applied mathematics
1
Insurance: Mathematics and Economics
1
The journal of computational finance
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ECONIS (ZBW)
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Expansion method for pricing foreign exchange options under stochastic volatility and interest rates
Nagami, Kenji
- In:
The journal of computational finance
25
(
2021
)
2
,
pp. 29-50
Persistent link: https://www.econbiz.de/10012938885
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2
Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
Goudenège, Ludovic
;
Molent, Andrea
;
Zanette, Antonino
- In:
Decisions in economics and finance : a journal of …
44
(
2021
)
1
,
pp. 57-72
Persistent link: https://www.econbiz.de/10012587815
Saved in:
3
LSM algorithm for pricing American option under Heston-Hull-White's stochastic volatility model
Samimi, O.
;
Mardani, Z.
;
Sharafpour, S.
;
Mehrdoust, F.
- In:
Computational economics
50
(
2017
)
2
,
pp. 173-187
Persistent link: https://www.econbiz.de/10011762377
Saved in:
4
Pricing of guaranteed annuity options in a stochastic volatility and interest rate environment
Kizaki, Keisuke
;
Muroi, Yoshifumi
- In:
Asia-Pacific journal of risk and insurance : APJRI
10
(
2016
)
2
,
pp. 133-153
Persistent link: https://www.econbiz.de/10011537211
Saved in:
5
Pricing inflation products with stochastic volatility and stochastic interest rates
Singor, Stefan N.
;
Grzelak, Lech A.
;
Bragt, David D.B. van
- In:
Insurance: Mathematics and Economics
52
(
2013
)
2
,
pp. 286-299
approach using a real-life pension fund example, where the
Heston
Hull–White
model
is used to determine the value of …
Persistent link: https://www.econbiz.de/10010662453
Saved in:
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