Narrow search
Showing 1 - 10 of 23
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
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
Cover Image
A review of tree-based approaches to solving forward-backward stochastic differential equations
Teng, Long - In: The journal of computational finance 25 (2021) 3, pp. 125-159
Persistent link: https://www.econbiz.de/10012873086
Cover Image
Neural networks for option pricing and hedging : a literature review
Ruf, Johannes; Wang, Weiguan - In: The journal of computational finance 24 (2020) 1, pp. 1-46
Persistent link: https://www.econbiz.de/10012421955
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
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
A new nonlinear partial differential equation in finance and a method of its solution
Itkin, Andrey - In: The journal of computational finance 21 (2017/2018) 4, pp. 1-21
Persistent link: https://www.econbiz.de/10011848371
Cover Image
Robust pricing and hedging via neural stochastic differential equations
Gierjatowicz, Patrick; Sabate-Vidales, Marc; Siska, David; … - In: The journal of computational finance 26 (2022) 3, pp. 1-32
Persistent link: https://www.econbiz.de/10014314540
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
Sharp L¹-approximation of the log-Heston stochastic differential equation by Euler-type methods
Mickel, Annalena; Neuenkirch, Andreas - In: The journal of computational finance 26 (2023) 4, pp. 67-100
Persistent link: https://www.econbiz.de/10014342066