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Unbiased deep solvers for linear parametric PDEs

Sabate Vidales, Marc; Siska, David; Szpruch, Łukasz - In: Applied mathematical finance 28 (2021) 4, pp. 299-329

Persistent link: https://www.econbiz.de/10013411699

Using Chebyshev polynomials to approximate partial differential equations

Caporale, Guglielmo Maria (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003739785

Pricing temperature derivatives using a partial differential equation approach in incomplete markets

Ehlers, Manuel - 2008

Persistent link: https://www.econbiz.de/10003781004

New recipes for estimating default intensities

Baranovski, Alexander; Lieres, Carsten von; Wilch, André - 2009

intensity curves required e.g. for pricing or risk management purposes. Assuming continuous premium or coupon payments, the … term structure models like the CIR model. -- CDS spreads ; bond spreads ; default intensity ; credit derivatives pricing …

Persistent link: https://www.econbiz.de/10003796155

Chebyshev polynomial approximation to approximate partial differebtial equations

Caporale, Guglielmo Maria (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003806021

Polar sets of anisotropic Gaussian random fields

Söhl, Jakob - 2009

This paper studies polar sets of anisotropic Gaussian random elds, i.e. sets which a Gaussian random eld does not hit almost surely. The main assumptions are that the eigenvalues of the covariance matrix are bounded from below and that the canonical metric associated with the Gaussian random eld...