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A pairwise local correlation model
Koster, Frank; Oeltz, Daniel - In: The journal of computational finance 22 (2018/2019) 4, pp. 1-24
Persistent link: https://www.econbiz.de/10012042217
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Fast stochastic forward sensitivities in Monte Carlo simulations using stochastic automatic differentiation (with applications to initial margin valuation adjustments)
Fries, Christian - In: The journal of computational finance 22 (2018/2019) 4, pp. 103-125
Persistent link: https://www.econbiz.de/10012042220
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Calculate tail quantiles of compound distributions
Abdymomunov, Azamat; Curti, Filippo; Kane, Hayden - In: The journal of computational finance 22 (2018/2019) 5, pp. 41-70
Persistent link: https://www.econbiz.de/10012042235
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Vibrato and automatic differentiation for high-order derivatives and sensitivities of financial options
Pagès, Gilles; Pironneau, Olivier; Sall, Guillaume - In: The journal of computational finance 22 (2018) 2, pp. 1-34
Persistent link: https://www.econbiz.de/10011976655
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Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema; Korn, Ralf; Desmettre, Sascha - In: The journal of computational finance 23 (2019) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10012064963
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Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method
Zhang, Rongju; Langrené, Nicolas; Tian, Yu; Klebaner, … - In: The journal of computational finance 23 (2019) 1, pp. 97-127
Persistent link: https://www.econbiz.de/10012065042
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Kriging metamodels and experimental design for Bermudan option pricing
Ludkovski, Mike - In: The journal of computational finance 22 (2018) 1, pp. 37-77
Persistent link: https://www.econbiz.de/10011890178
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Importance sampling for jump-diffusions via cross-entropy
Rieke, Rebecca; Sun, Weifeng; Wang, Hui - In: The journal of computational finance 22 (2018) 1, pp. 107-130
Persistent link: https://www.econbiz.de/10011890185
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Portfolio optimization for American options
Zeng, Yaxiong; Klabjan, Diego - In: The journal of computational finance 22 (2018) 3, pp. 37-64
Persistent link: https://www.econbiz.de/10011988191
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Wiener chaos expansion and numerical solutions of the Heath-Jarrow-Morton interest rate model
Kalpinelli, Evangelia A.; Frangos, Nikolaos E.; … - In: The journal of computational finance 19 (2016) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10011603168