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Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme
Shinozaki, Yuji - In: Quantitative finance 21 (2021) 7, pp. 1147-1161
Persistent link: https://www.econbiz.de/10012588029
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A multiple-curve Lévy forward rate model in a two-price economy
Eberlein, Ernst; Gerhart, Christoph - In: Quantitative finance 18 (2018) 4, pp. 537-561
Persistent link: https://www.econbiz.de/10011906431
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Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitt...
Gudkov, Nikolay; Ignatieva, Ekaterina; Ziveyi, Jonathan - In: Quantitative finance 19 (2019) 3, pp. 501-518
Persistent link: https://www.econbiz.de/10012194671
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Optimal asset allocation under search frictions and stochastic interest rate
Wang, Ning; Zhu, Song-Ping; Elliott, Robert J. - In: Quantitative finance 23 (2023) 6, pp. 1019-1033
Persistent link: https://www.econbiz.de/10014304432
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Interest rate convexity in a Gaussian framework
Jacquier, Antoine; Oumgari, Mugad - In: Quantitative finance 24 (2024) 6, pp. 677-689
Persistent link: https://www.econbiz.de/10015050786
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A path-integral approximation for non-linear diffusions
Capriotti, Luca - In: Quantitative finance 20 (2020) 1, pp. 29-36
Persistent link: https://www.econbiz.de/10012194852
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Bond market completeness under stochastic strings with distribution-valued strategies
Bueno-Guerrero, Alberto; Moreno, Manuel; Navas, Javier F. - In: Quantitative finance 22 (2022) 2, pp. 197-211
Persistent link: https://www.econbiz.de/10013167731
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The SINC way : a fast and accurate approach to Fourier pricing
Baschetti, Fabio; Bormetti, Giacomo; Romagnoli, Silvia; … - In: Quantitative finance 22 (2022) 3, pp. 427-446
Persistent link: https://www.econbiz.de/10013167768
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A fast algorithm for simulation of rough volatility models
Ma, Jingtang; Wu, Haofei - In: Quantitative finance 22 (2022) 3, pp. 447-462
Persistent link: https://www.econbiz.de/10013167769
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Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.; Gassiat, Paul; Pigato, Paolo - In: Quantitative finance 22 (2022) 3, pp. 463-480
Persistent link: https://www.econbiz.de/10013167770