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Kernel convergence estimates for diffusions with continuous coefficients
Albanese, Claudio - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 979-1004
Persistent link: https://www.econbiz.de/10009407684
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Efficient, almost exact simulation of the heston stochastic volatility model
van Haastrecht, Alexander; Pelsser, Antoon André Jean - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 1-43
Persistent link: https://www.econbiz.de/10008860425
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On the impact of hidden trends for a compound poisson model with pareto-type claims
Grandits, Peter; Kainhofer, Reinhold; Temnov, Grigory - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 959-978
Persistent link: https://www.econbiz.de/10008905099
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VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang; Liu, Wei-han; Chen, Tzu-ying - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10010363922
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A general computation scheme for a high-order asymptotic expansion method
Takahashi, Akihiko; Takehara, Kohta; Toda, Masashi - In: International journal of theoretical and applied finance 15 (2012) 6, pp. 1-25
Persistent link: https://www.econbiz.de/10009672591
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Exact simulation of the 3/2 model
Baldeaux, jan - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-13
Persistent link: https://www.econbiz.de/10009672611
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Approximations of bond and swaption prices in a Black-Karasinski model
Daniluk, Andrzej; Muchorski, Rafał - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-32
Persistent link: https://www.econbiz.de/10011523750
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An effective approximation for zero-coupon bonds and arrow-debreu prices in the Black-Karasinski model
Stehlíková, Beáta; Capriotti, Luca - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-16
Persistent link: https://www.econbiz.de/10010438534
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Malliavin calculus for the estimation of time-varying regression models used in financial applications
Abutaleb, Ahmed; Papaioannou, Michael G. - In: International journal of theoretical and applied finance 10 (2007) 5, pp. 771-800
Persistent link: https://www.econbiz.de/10003564641
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A comparative study of monotone quantile regression methods for financial returns
Cai, Yuzhi - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-16
Persistent link: https://www.econbiz.de/10011523744