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Robust and consistent estimation of generators in credit risk
Reis, Gonçalo dos; Smith, Greig - In: Quantitative finance 18 (2018) 6, pp. 983-1001
Persistent link: https://www.econbiz.de/10011911257
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A Bayesian encompassing test using combined value-at-risk estimates
Tsiotas, Georgios - In: Quantitative finance 18 (2018) 3, pp. 395-417
Persistent link: https://www.econbiz.de/10011906387
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Smoothing the payoff for efficient computation of basket option prices
Bayer, Christian; Siebenmorgen, Markus; Tempone, Raul - In: Quantitative finance 18 (2018) 3, pp. 491-505
Persistent link: https://www.econbiz.de/10011906403
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Sequential Monte Carlo for fractional stochastic volatility models
Chronopoulou, Alexandra; Spiliopoulos, Konstantinos - In: Quantitative finance 18 (2018) 3, pp. 507-517
Persistent link: https://www.econbiz.de/10011906404
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Pricing high-dimensional American options by kernel ridge regression
Hu, Wenbin; Zastawniak, Tomasz - In: Quantitative finance 20 (2020) 5, pp. 851-865
Persistent link: https://www.econbiz.de/10012262630
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Turbocharging Monte Carlo pricing for the rough Bergomi model
McCrickerd, Ryan; Pakkanen, Mikko S. - In: Quantitative finance 18 (2018) 11, pp. 1877-1886
Persistent link: https://www.econbiz.de/10012262858
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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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Pairs trading with general state space models
Zhang, Guang - In: Quantitative finance 21 (2021) 9, pp. 1567-1587
Persistent link: https://www.econbiz.de/10012624158
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Primal-dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
Xiang, Jiangming; Wang, Xiaoqun - In: Quantitative finance 20 (2020) 10, pp. 1701-1720
Persistent link: https://www.econbiz.de/10012313503
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A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
Yamada, Toshihiro; Yamamoto, Kenta - In: Quantitative finance 20 (2020) 11, pp. 1825-1837
Persistent link: https://www.econbiz.de/10012313518