Narrow search
Showing 1 - 10 of 283
Cover Image
Local volatility models in commodity markets and online calibration
Albani, Vinícius; Ascher, Uri M.; Zubelli, Jorge P. - In: The journal of computational finance 21 (2017/2018) 5, pp. 63-95
Persistent link: https://www.econbiz.de/10011860922
Cover Image
On the application of spectral filters in a Fourier option pricing technique
Ruijter, Marjon; Versteegh, M.; Oosterlee, Cornelis … - In: The journal of computational finance 19 (2015) 1, pp. 75-106
Persistent link: https://www.econbiz.de/10011480718
Cover Image
Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations
Crépey, Stéphane; Dixon, Matthew F. - In: The journal of computational finance 24 (2020) 1, pp. 47-81
Persistent link: https://www.econbiz.de/10012421957
Cover Image
Efficient estimation of sensitivities for counterparty credit risk with the finite difference Monte Carlo method
Graaf, Cornelis S. L. de; Kandhai, Drona; Sloot, Peter M. A. - In: The journal of computational finance 21 (2017) 1, pp. 83-113
Persistent link: https://www.econbiz.de/10011691615
Cover Image
Finite difference techniques for arbitrage-free SABR
Le Floc'h, Fabien; Kennedy, Gary - In: The journal of computational finance 20 (2016/2017) 3, pp. 51-79
Persistent link: https://www.econbiz.de/10011689679
Cover Image
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
Cover Image
Variance optimal hedging with application to electricity markets
Warin, Xavier - In: The journal of computational finance 23 (2019) 3, pp. 33-59
Persistent link: https://www.econbiz.de/10012162373
Cover Image
Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous-time mean-variance asset allocation under stochastic volatility
Ma, K.; Forsyth, Peter A. - In: The journal of computational finance 20 (2016) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10011639504
Cover Image
Pricing the correlation skew with normal mean-variance mixture copulas
Luján Fernández, Ignacio - In: The journal of computational finance 26 (2022) 2, pp. 83-99
Persistent link: https://www.econbiz.de/10013549659
Cover Image
A tree-based method to price American options in the Heston model
Vellekoop, Michel; Nieuwenhuis, J. H. - In: The journal of computational finance 13 (2009/10) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10003969727