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A functional Itô's calculus approach to convex risk measures with jump diffusion
Siu, Tak Kuen - In: European journal of operational research : EJOR 250 (2016) 3, pp. 874-883
Persistent link: https://www.econbiz.de/10011445346
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Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - In: European journal of operational research : EJOR 208 (2011) 2, pp. 95-108
Persistent link: https://www.econbiz.de/10008779603
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Simplified stochastic calculus with applications in economics and finance
Černý, Aleš; Ruf, Johannes - In: European journal of operational research : EJOR 293 (2021) 2, pp. 547-560
Persistent link: https://www.econbiz.de/10012513216
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Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 290 (2021) 3, pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
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Nonlinear valuation under credit, funding, and margins : existence, uniqueness, invariance, and disentanglement
Brigo, Damiano; Francischello, Marco; Pallavicini, Andrea - In: European journal of operational research : EJOR 274 (2019) 2, pp. 788-805
Persistent link: https://www.econbiz.de/10011990226
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A practical finite difference method for the three-dimensional Black-Scholes equation
Kim, Junseok; Kim, Taekkeun; Jo, Jaehyun; Choi, Yongho; … - In: European journal of operational research : EJOR 252 (2016) 1, pp. 183-190
Persistent link: https://www.econbiz.de/10011449164
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Discrete Malliavin calculus and computations of greeks in the binomial tree
Muroi, Yoshifumi; Suda, Shintaro - In: European journal of operational research : EJOR 231 (2013) 2, pp. 349-361
Persistent link: https://www.econbiz.de/10009785590
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Asymptotic formulas for the derivates of probability functions and their Monte Carlo estimations
Garnier, Josselin; Omrane, Abdennebi; Rouchdy, Youssef - In: European journal of operational research : EJOR 198 (2009) 3, pp. 848-858
Persistent link: https://www.econbiz.de/10003857819
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A general control variate method for Lévy models in finance
Shiraya, Kenichiro; Uenishi, Hiroki; Yamazaki, Akira - In: European journal of operational research : EJOR 284 (2020) 3, pp. 1190-1200
Persistent link: https://www.econbiz.de/10012238947
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A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 262 (2017) 1, pp. 381-400
Persistent link: https://www.econbiz.de/10011785790