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~isPartOf:"Applied economics letters"
~isPartOf:"Applied mathematical finance"
~subject:"Credit risk"
~subject:"Monte Carlo simulation"
~subject:"Portfolio-Management"
~subject:"Real options analysis"
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Option Prices with Stochastic...
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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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2
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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3
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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4
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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5
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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6
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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7
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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8
The instantaneous return and volatility of a covered call position
Edwards, Craig Steven
- In:
Applied economics letters
22
(
2015
)
13/15
,
pp. 1059-1063
Persistent link: https://www.econbiz.de/10011312207
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9
Bonds and options in exponentially affine bond models
Bermin, Hans-Peter
- In:
Applied mathematical finance
19
(
2012
)
5/6
,
pp. 513-534
Persistent link: https://www.econbiz.de/10009710929
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10
Bias reduction for pricing American options by least-squares Monte Carlo
Kan, Kin Hung Felix
;
Reesor, R. Mark
- In:
Applied mathematical finance
19
(
2012
)
3/4
,
pp. 195-217
Persistent link: https://www.econbiz.de/10009711007
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