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An acceleration scheme for deep learning-based BSDE solver using weak expansions
Naito, Riu; Yamada, Toshihiro - In: International journal of financial engineering 7 (2020) 2, pp. 1-12
Persistent link: https://www.econbiz.de/10012602946
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The source of error behavior for the solution of Black-Scholes PDE by finite difference and finite element methods
Özer, H. Ünsal; Duran, Ahmet - In: International journal of financial engineering 5 (2018) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10011923061
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Local risk-minimization for Lévy markets
Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011333451
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Stochastic volatility for utility maximizers : a martingale approach
Ellersgaard, Simon; Tegnér, Martin - In: International journal of financial engineering 5 (2018) 1, pp. 1-39
Persistent link: https://www.econbiz.de/10011922965
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Pricing European options and risk measurement under exponential Lévy models : a practical guide
Salhi, Khaled - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-36
Persistent link: https://www.econbiz.de/10011777826
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Fractional Black-Scholes equation
Aghili, A. - In: International journal of financial engineering 4 (2017) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10011673108
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The study of dynamics for credit default risk by backward stochastic differential equation method
Tian, Kun; Xiong, Dewen; Yan, Wenchao; Yuan, George Xianzhi - In: International journal of financial engineering 5 (2018) 4, pp. 1-32
Persistent link: https://www.econbiz.de/10012028824
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A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison)
Rabinovitz, Yedidya - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-22
Persistent link: https://www.econbiz.de/10011778269
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Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: International journal of financial engineering 3 (2016) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011532753
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Fast numerical method for pricing of variable annuities with Guaranteed minimum withdrawal benefit under optimal withdrawal strategy
Luo, Xiaolin; Shevchenko, Pavel V. - In: International journal of financial engineering 2 (2015) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10011403137