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ECONIS (ZBW)
243
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1
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
Saved in:
2
The Hull-White model under volatility uncertainty
Hölzermann, Julian
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1921-1933
Persistent link: https://www.econbiz.de/10012696796
Saved in:
3
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
Saved in:
4
Bond indifference prices
Lorig, Matthew
;
Zou, Bin
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1223-1233
Persistent link: https://www.econbiz.de/10012588039
Saved in:
5
Equal
risk
pricing of derivatives with deep hedging
Carbonneau, Alexandre
;
Godin, Frédéric
- In:
Quantitative finance
21
(
2021
)
4
,
pp. 593-608
Persistent link: https://www.econbiz.de/10012483841
Saved in:
6
Variance reduction for
risk
measures with importance sampling in nested simulation
Xing, Yue
;
Sit, Tony
;
Wong, Hoi Ying
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 657-673
Persistent link: https://www.econbiz.de/10013367849
Saved in:
7
On an irreversible investment problem with two-factor uncertainty
Dammann, Felix
;
Ferrari, Giorgio
- In:
Quantitative finance
22
(
2022
)
5
,
pp. 907-921
Persistent link: https://www.econbiz.de/10013367870
Saved in:
8
A dynamic equilibrium model for U-shaped pricing kernels
Yamazaki, Akira
- In:
Quantitative finance
18
(
2018
)
5
,
pp. 851-875
Persistent link: https://www.econbiz.de/10011907953
Saved in:
9
Volatility is rough
Gatheral, Jim
;
Jaisson, Thibault
;
Rosenbaum, Mathieu
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 933-949
Persistent link: https://www.econbiz.de/10011910932
Saved in:
10
Orthogonal expansions for VIX options under affine jump diffusions
Barletta, Andrea
;
Nicolato, Elisa
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 951-967
Persistent link: https://www.econbiz.de/10011911220
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