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Recursive marginal quantization of higher-order schemes
McWalter, Thomas A.; Rudd, Ralph; Kienitz, Jörg; … - In: Quantitative finance 18 (2018) 4, pp. 693-706
Persistent link: https://www.econbiz.de/10011906463
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Effective stochastic volatility : applications to ZABR-type models
Felpel, Mike; Kienitz, Jörg; McWalter, Thomas A. - In: Quantitative finance 21 (2021) 5, pp. 837-852
Persistent link: https://www.econbiz.de/10012500196
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Effective Markovian projection : application to CMS spread options and mid-curve swaptions
Felpel, Mike; Kienitz, Jörg; McWalter, Thomas A. - In: Quantitative finance 22 (2022) 6, pp. 1169-1192
Persistent link: https://www.econbiz.de/10013367891
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Effective stochastic local volatility models
Felpel, Mike; Kienitz, Jörg; McWalter, Thomas A. - In: Quantitative finance 23 (2023) 12, pp. 1731-1750
Persistent link: https://www.econbiz.de/10014452467