Narrow search
Showing 1 - 10 of 288
Cover Image
Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos; Kschonnek, M.; Zagst, Rudi - In: Quantitative finance 23 (2023) 12, pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
Cover Image
Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng - In: Quantitative finance 22 (2022) 1, pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
Cover Image
Real options maximizing survival probability under incomplete markets
Jiang, Jinglu; Mu, Congming; Peng, Juan; Yang, Jinqiang - In: Quantitative finance 19 (2019) 11, pp. 1921-1931
Persistent link: https://www.econbiz.de/10012195664
Cover Image
Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng - In: Quantitative finance 23 (2023) 10, pp. 1411-1430
Persistent link: https://www.econbiz.de/10014419168
Cover Image
Informative option portfolios in filter design for option pricing models
Orłowski, Piotr - In: Quantitative finance 21 (2021) 6, pp. 945-965
Persistent link: https://www.econbiz.de/10012515627
Cover Image
Explicit option valuation in the exponential NIG model
Aguilar, Jean-Philippe - In: Quantitative finance 21 (2021) 8, pp. 1281-1299
Persistent link: https://www.econbiz.de/10012608646
Cover Image
Valuation of options under a constant elasticity of variance process and stochastic volatility
AbaOud, Mohammed A. - In: Quantitative finance 21 (2021) 8, pp. 1301-1307
Persistent link: https://www.econbiz.de/10012608648
Cover Image
Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing
Liang, Jian; Xu, Zhe; Li, Peter - In: Quantitative finance 21 (2021) 8, pp. 1309-1323
Persistent link: https://www.econbiz.de/10012608649
Cover Image
Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Realdon, Marco - In: Quantitative finance 21 (2021) 8, pp. 1365-1386
Persistent link: https://www.econbiz.de/10012608653
Cover Image
A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics
Garces, Len Patrick Dominic M.; Cheang, Gerald H. L. - In: Quantitative finance 21 (2021) 12, pp. 2025-2054
Persistent link: https://www.econbiz.de/10012696809