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Pricing of spread options on stochastically correlated underlyings
Escobar, Marcos; Götz, Barbara; Seco, Luis; Zagst, Rudi - In: The journal of computational finance 12 (2009) 3, pp. 31-61
Persistent link: https://www.econbiz.de/10009534616
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Calibration of local correlation models to basket smiles
Guyon, Julien - In: The journal of computational finance 21 (2017) 1, pp. 1-51
Persistent link: https://www.econbiz.de/10011691606
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Gaussian and Poisson approximation : applications to CDOs tranche pricing
El Karoui, Nicole; Jiao, Ying; Kurtz, David - In: The journal of computational finance 12 (2008/09) 2, pp. 31-58
Persistent link: https://www.econbiz.de/10009534632
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Valuation of mortage-backed securities using Brownian bridges to reduce effective dimension
Caflisch, Russel E.; Morokoff, William J.; Owen, Art - In: The journal of computational finance 1 (1997) 1, pp. 27-46
Persistent link: https://www.econbiz.de/10001633147
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Simulation of Lévy processes and option pricing
Dia, El Hadj Aly - In: The journal of computational finance 17 (2013) 2, pp. 41-69
Persistent link: https://www.econbiz.de/10010239115
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Lognormal approximations to Libor market models
Kurbanmuradov, O.; Sabelfeld, K.; Schoenmakers, John - In: The journal of computational finance 6 (2002) 1, pp. 69-100
Persistent link: https://www.econbiz.de/10001704745
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Numerical simulation and applications of the convection-diffusion-reaction equation with the radial basis function in a finite-difference mode
Mollapourasl, Reza; Haghi, Majid; Heryudono, Alfa - In: The journal of computational finance 23 (2020) 5, pp. 33-73
Persistent link: https://www.econbiz.de/10012295864
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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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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