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Search: subject:"Markovian projection"
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Markovian projection
9
Option pricing theory
5
Optionspreistheorie
5
Markov chain
4
Markov-Kette
4
Option trading
4
Optionsgeschäft
4
Volatility
4
Volatilität
4
Black-Scholes model
3
Black-Scholes-Modell
3
Stochastic process
3
Stochastischer Prozess
3
Monte Carlo
2
Monte Carlo simulation
2
Monte-Carlo-Simulation
2
Project management
2
Projektmanagement
2
SABR
2
displaced diffusion
2
volatility skew
2
ARCH model
1
ARCH-Modell
1
Approximation formula
1
Basket option
1
Black-Scholes
1
CMS spread
1
Call option
1
Correlation
1
Derivat
1
Derivative
1
Diffusion process
1
Dupire equations
1
Effective PDE
1
Error bounds
1
Estimation theory
1
Forward equation
1
GyÄongy Lemma
1
Gyöngy's theorem
1
Hamilton-Jabcobi-Bellman
1
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8
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1
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8
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Article in journal
6
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6
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English
6
Undetermined
3
Author
All
Kienitz, Jörg
2
ANTONOV, A.
1
Bain, Alan
1
Bayer, Christian
1
Bentata, Amel
1
Cont, Rama
1
Dall'acqua, Enrico
1
Felpel, Mike
1
Forde, Martin
1
Häppölä, Juho
1
Koster, Frank
1
Longoni, Riccardo
1
MISIRPASHAEV, T.
1
Mariapragassam, Matthieu
1
McWalter, Thomas A.
1
Oeltz, Daniel
1
Pallavicini, Andrea
1
Reisinger, Christoph
1
Tempone, Raúl
1
Wittke, Manuel
1
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Finance Discipline Group, Business School
1
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Quantitative finance
2
The journal of computational finance
2
Finance and stochastics
1
International Journal of Theoretical and Applied Finance (IJTAF)
1
International journal of theoretical and applied finance : IJTAF
1
Research Paper Series / Finance Discipline Group, Business School
1
Statistics & Probability Letters
1
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ECONIS (ZBW)
6
RePEc
3
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1
Rough-heston local-volatility model
Dall'acqua, Enrico
;
Longoni, Riccardo
;
Pallavicini, Andrea
- In:
International journal of theoretical and applied …
26
(
2023
)
6/7
,
pp. 1-18
Persistent link: https://www.econbiz.de/10014500191
Saved in:
2
Effective
Markovian
projection
: application to CMS spread options and mid-curve swaptions
Felpel, Mike
;
Kienitz, Jörg
;
McWalter, Thomas A.
- In:
Quantitative finance
22
(
2022
)
6
,
pp. 1169-1192
Persistent link: https://www.econbiz.de/10013367891
Saved in:
3
Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
Bain, Alan
;
Mariapragassam, Matthieu
;
Reisinger, Christoph
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 115-161
Persistent link: https://www.econbiz.de/10012544167
Saved in:
4
Implied stopping rules for American basket options from
Markovian
projection
Bayer, Christian
;
Häppölä, Juho
;
Tempone, Raúl
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 371-390
Persistent link: https://www.econbiz.de/10012194659
Saved in:
5
A pairwise local correlation model
Koster, Frank
;
Oeltz, Daniel
- In:
The journal of computational finance
22
(
2018/2019
)
4
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012042217
Saved in:
6
Option Valuation in Multivariate SABR Models
Kienitz, Jörg
;
Wittke, Manuel
-
Finance Discipline Group, Business School
-
2010
model. Using the
Markovian
Projection
methodology we approximate a univariate displaced diffusion SABR dynamic for the …
Persistent link: https://www.econbiz.de/10008506968
Saved in:
7
Forward equations for option prices in semimartingale models
Bentata, Amel
;
Cont, Rama
- In:
Finance and stochastics
19
(
2015
)
3
,
pp. 617-651
Persistent link: https://www.econbiz.de/10011418317
Saved in:
8
On the
Markovian
projection
in the Brunick–Shreve mimicking result
Forde, Martin
- In:
Statistics & Probability Letters
85
(
2014
)
C
,
pp. 98-105
the
Markovian
projection
E(σt2|Xt,Yt) explicitly from the marginals of (Xt,Yt), which can be viewed as a natural extension …
Persistent link: https://www.econbiz.de/10011039769
Saved in:
9
MARKOVIAN
PROJECTION
ONTO A DISPLACED DIFFUSION: GENERIC FORMULAS WITH APPLICATIONS
ANTONOV, A.
;
MISIRPASHAEV, T.
- In:
International Journal of Theoretical and Applied …
12
(
2009
)
04
,
pp. 507-522
We develop a systematic approach to
Markovian
projection
onto an effective displaced diffusion, and work out a set of …
Persistent link: https://www.econbiz.de/10004983230
Saved in:
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