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Interacting particle systems for the computation of rare credit portfolio losses
Carmona, René; Fouque, Jean-Pierre; Vestal, Douglas - In: Finance and stochastics 13 (2009) 4, pp. 613-633
Persistent link: https://www.econbiz.de/10003899538
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On a Heath-Jarrow-Morton approach for stock options
Kallsen, Jan; Krühner, Paul - In: Finance and stochastics 19 (2015) 3, pp. 583-615
Persistent link: https://www.econbiz.de/10011418308
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Forward equations for option prices in semimartingale models
Bentata, Amel; Cont, Rama - In: Finance and stochastics 19 (2015) 3, pp. 617-651
Persistent link: https://www.econbiz.de/10011418317
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Maturity cycles in implied volatility
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; … - In: Finance and stochastics 8 (2004) 4, pp. 451-477
Persistent link: https://www.econbiz.de/10002261414
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A risk-neutral equilibrium leading to uncertain volatility pricing
Muhle-Karbe, Johannes; Nutz, Marcel - In: Finance and stochastics 22 (2018) 2, pp. 281-295
Persistent link: https://www.econbiz.de/10011945712
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Bilateral credit valuation adjustment for large credit derivatives portfolios
Bo, Lijun; Capponi, Agostino - In: Finance and stochastics 18 (2014) 2, pp. 431-482
Persistent link: https://www.econbiz.de/10010340674
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Optimal Portfolios in commodity futures markets
Benth, Fred Espen; Lempa, Jukka - In: Finance and stochastics 18 (2014) 2, pp. 407-430
Persistent link: https://www.econbiz.de/10010340676
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Pricing contingent claims with credit risk : asymptotic expansion approach
Muroi, Yoshifumi - In: Finance and stochastics 9 (2005) 3, pp. 415-427
Persistent link: https://www.econbiz.de/10002946754
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Computing deltas without derivatives
Baños, D.; Meyer-Brandis, T.; Proske, Frank; Duedahl, S. - In: Finance and stochastics 21 (2017) 2, pp. 509-549
Persistent link: https://www.econbiz.de/10011944403
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Pricing options on flow forwards by neural networks in a Hilbert space
Benth, Fred Espen; Detering, Nils; Galimberti, Luca - In: Finance and stochastics 28 (2024) 1, pp. 81-121
Persistent link: https://www.econbiz.de/10014447586