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From optimal martingales to randomized dual optimal stopping
Belomestny, Denis; Schoenmakers, John - In: Quantitative finance 23 (2023) 7/8, pp. 1099-1113
Persistent link: https://www.econbiz.de/10014321666
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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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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
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Deep learning for ranking response surfaces with applications to optimal stopping problems
Hu, Ruimeng - In: Quantitative finance 20 (2020) 9, pp. 1567-1581
Persistent link: https://www.econbiz.de/10012295624
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Implied stopping rules for American basket options from Markovian projection
Bayer, Christian; Häppölä, Juho; Tempone, Raúl - In: Quantitative finance 19 (2019) 3, pp. 371-390
Persistent link: https://www.econbiz.de/10012194659
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Dynamic programming for optimal stopping via pseudo-regression
Bayer, Christian; Redmann, Martin; Schoenmakers, John - In: Quantitative finance 21 (2021) 1, pp. 29-44
Persistent link: https://www.econbiz.de/10012424631
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A reinforcement learning approach to optimal execution
Moallemi, Ciamac C.; Wang, Muye - In: Quantitative finance 22 (2022) 6, pp. 1051-1069
Persistent link: https://www.econbiz.de/10013367884
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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