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Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
Dang, Duy Minh; Jackson, Kenneth R.; Mohammadi, Mohammadreza - In: Applied mathematical finance 22 (2015) 5/6, pp. 522-552
Persistent link: https://www.econbiz.de/10011490623
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Weak approximation of stochastic differential equations and application to derivative pricing
Ninomiya, Syoiti; Victoir, Nicolas - In: Applied mathematical finance 15 (2008) 1/2, pp. 107-121
Persistent link: https://www.econbiz.de/10003751117
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Limit order books, diffusion approximations and reflected SPDEs : from microscopic to macroscopic models
Hambly, Ben; Kalsi, Jasdeep; Newbury, James - In: Applied mathematical finance 27 (2020) 1/2, pp. 132-170
Persistent link: https://www.econbiz.de/10012254111
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Indifference fee rate for variable annuities
Chevalier, Etienne; Lim, Thomas; Romero, Ricardo Romo - In: Applied mathematical finance 23 (2016) 3/4, pp. 278-308
Persistent link: https://www.econbiz.de/10011704242
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Volatility targeting using delayed diffusions
Torricelli, Lorenzo - In: Applied mathematical finance 25 (2018) 3/4, pp. 213-246
Persistent link: https://www.econbiz.de/10012128945
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Diffusion equations : convergence of the functional scheme derived from the binomial tree with local volatility for non smooth payoff functions
Baptiste, Julien; Lépinette, Emmanuel - In: Applied mathematical finance 25 (2018) 5/6, pp. 511-532
Persistent link: https://www.econbiz.de/10012129179
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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