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Detecting money market bubbles
Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - 2016
Persistent link: https://www.econbiz.de/10011778131
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On the efficiency of simplified weak Taylor schemes for Monte Carlo simulation in finance
Liberati, Nicola Bruti; Platen, Eckhard - 2004
Persistent link: https://www.econbiz.de/10002250960
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Pricing financial derivatives on weather sensitive assets
Filar, Jerzy A.; Kang, Boda; Korolkiewicz, Malgorzata - 2008
Persistent link: https://www.econbiz.de/10003857122
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A stylised model for extreme shocks : four moments of the apocalypse
Brace, Alan; Lauer, Mark; Rado, Milo - 2008
Persistent link: https://www.econbiz.de/10003857123
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Distributional deviations in random number generation in finance
Chavez, Sergio; Platen, Eckhard - 2008
Persistent link: https://www.econbiz.de/10003857127
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Modelling the evolution of credit spreads using the Cox process within the HUM framework : a CDS option pricing model
Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - 2008
Persistent link: https://www.econbiz.de/10003857131
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Heterogeneity, bounded rationality and market dysfunctionality
He, Xue-zhong; Shi, Lei - 2008
Persistent link: https://www.econbiz.de/10003857147
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On the numerical stability of simulation methods for SDES
Platen, Eckhard; Shi, Lei - 2008
Persistent link: https://www.econbiz.de/10003857152
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The evaluation of American compound option prices under stochastic volatility using the sparse grid approach
Chiarella, Carl; Kang, Boda - 2009
Persistent link: https://www.econbiz.de/10003857524
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Option valuation in multivariate SABR models
Kienitz, Jörg; Wittke, Manuel - 2010
Persistent link: https://www.econbiz.de/10008662187