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Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs
Joshi, Mark S.; Zhu, Dan - In: Applied mathematical finance 23 (2016) 1/2, pp. 22-56
Persistent link: https://www.econbiz.de/10011546983
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Bachelier model with stopping time and its insurance application
Glazyrina, Anna; Melʹnikov, Aleksandr V. - In: Insurance / Mathematics & economics 93 (2020), pp. 156-167
Persistent link: https://www.econbiz.de/10012294092
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A control variate method for Monte Carlo simulations of Heath-Jarrow-Morton models with jumps
Chiarella, Carl; Nikitopoulos, Christina Sklibosios; … - In: Applied mathematical finance 14 (2007) 5, pp. 365-399
Persistent link: https://www.econbiz.de/10003637449
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A numerical method to price defaultable bonds based on the Madan and Unal credit risk model
Ballestra, Luca Vincenzo; Pacelli, Graziella - In: Applied mathematical finance 16 (2009) 1/2, pp. 17-36
Persistent link: https://www.econbiz.de/10003847142
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Multiscale intensity models and name grouping for valuation of multi-name credit derivatives
Papageorgiou, Evan; Sircar, Kaushik Ronnie - In: Applied mathematical finance 16 (2009) 3/4, pp. 353-383
Persistent link: https://www.econbiz.de/10003916203
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Comment on "Correcting for simulation bias in Monte Carlo methods to value exotic options in models driven by Lévy processes" by C. Ribeiro and N. Webber
Becker, Martin - In: Applied mathematical finance 17 (2010) 1/2, pp. 133-146
Persistent link: https://www.econbiz.de/10003975363
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A simple derivation of and improvements to Jamshidian's and Roger's upper bound methods for Bermudan options
Joshi, Mark S. - In: Applied mathematical finance 14 (2007) 3, pp. 197-205
Persistent link: https://www.econbiz.de/10003542984
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Correcting for simulation bias in Monte Carlo methods to value exotic options in models driven by Lévy processes
Ribeiro, Claudia; Webber, Nick - In: Applied mathematical finance 13 (2006) 4, pp. 333-352
Persistent link: https://www.econbiz.de/10003396211
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Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee
Nteukam T., Oberlain; Planchet, Frédéric; Thérond, … - In: Insurance / Mathematics & economics 48 (2011) 2, pp. 161-175
Persistent link: https://www.econbiz.de/10008989359
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Lévy risk model with two-sided jumps and a barrier dividend strategy
Bo, Lijun; Song, Renming; Tang, DanLing; Wang, Yongjin; … - In: Insurance / Mathematics & economics 50 (2012) 2, pp. 280-291
Persistent link: https://www.econbiz.de/10009507927