Narrow search
Showing 1 - 10 of 22
Cover Image
Penalty methods for bilateral XVA pricing in European and American contingent claims by a partial differential equation model
Chen, Yuwei; Christara, Christiana C. - In: The journal of computational finance 24 (2021) 4, pp. 41-70
Persistent link: https://www.econbiz.de/10012544162
Cover Image
Volatility risk structure for options depending on extrema
Nakatsu, Tomonori - In: The journal of computational finance 21 (2017/2018) 3, pp. 105-122
Persistent link: https://www.econbiz.de/10011848359
Cover Image
Efficient conservative second-order central-upwind schemes for option-pricing problems
Bhatoo, Omishwary; Peer, Arshad Ahmud Iqbal; Tadmor, Eitan - In: The journal of computational finance 22 (2018/2019) 5, pp. 71-101
Persistent link: https://www.econbiz.de/10012042237
Cover Image
Pricing multidimensional financial derivatives with stochastic volatilities using the dimensional-adaptive combination technique
Benk, Janos; Pflüger, Dirk - In: The journal of computational finance 21 (2017/2018) 3, pp. 75-104
Persistent link: https://www.econbiz.de/10011848349
Cover Image
Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach
Calvo-Garrido, M. C.; Ehrhardt, Matthias; Vázquez, Carlos - In: The journal of computational finance 20 (2016/2017) 3, pp. 81-107
Persistent link: https://www.econbiz.de/10011689686
Cover Image
Pricing barrier options with deep backward stochastic differential equation methods
Ganesan, Narayan; Yu, Yajie; Hientzsch, Bernhard - In: The journal of computational finance 25 (2022) 4, pp. 1-25
Persistent link: https://www.econbiz.de/10014546284
Cover Image
Estimating risks of European option books using neural stochastic differential equation market models
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - In: The journal of computational finance 26 (2022) 3, pp. 33-72
Persistent link: https://www.econbiz.de/10014314556
Cover Image
An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivatives
Dang, Duy Minh; Christara, Christina C.; Jackson, Kenneth R. - In: The journal of computational finance 18 (2014/2015) 4, pp. 39-93
Persistent link: https://www.econbiz.de/10011441260
Cover Image
Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
Reisinger, Christoph; Wissmann, Rasmus - In: The journal of computational finance 18 (2014/2015) 4, pp. 95-127
Persistent link: https://www.econbiz.de/10011441267
Cover Image
Branching diffusions with jumps, and valuation with systemic counterparties
Belak, Christoph; Hoffmann, Daniel; Seifried, Frank Thomas - In: The journal of computational finance 25 (2021) 3, pp. 51-86
Persistent link: https://www.econbiz.de/10012873083