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Fast valuation and calibration of credit default swaps under Lévy dynamics
Fang, Fang; Jönsson, Henrik; Oosterlee, Cornelis W.; … - In: The journal of computational finance 14 (2010/11) 2, pp. 57-86
Persistent link: https://www.econbiz.de/10008810136
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Numerical valuation of basket credit derivatives in structural jump-diffusion models
Bujok, Karolina; Reisinger, Christoph - In: The journal of computational finance 15 (2011/12) 4, pp. 115-158
Persistent link: https://www.econbiz.de/10009575385
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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
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Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model
Kiesel, Rüdiger; Lutz, Matthias - In: The journal of computational finance 14 (2010/11) 4, pp. 37-72
Persistent link: https://www.econbiz.de/10009241255
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Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
Feng, Qian; Jain, Shashi; Karlsson, Patrik; Kandhai, Drona - In: The journal of computational finance 20 (2016) 1, pp. 139-172
Persistent link: https://www.econbiz.de/10011639641
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Pricing kth-to-default swaps under default contagion: the matrix analytic approach
Herbertsson, Alexander; Rootzén, Holger - In: The journal of computational finance 12 (2008) 1, pp. 49-78
Persistent link: https://www.econbiz.de/10009534635
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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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Accelerated trinomial trees applied to American basket options and American options under the Bates model
O'Sullivan, Conall; O'Sullivan, Stephen - In: The journal of computational finance 19 (2016) 4, pp. 29-72
Persistent link: https://www.econbiz.de/10011603176
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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
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Hedging of options in the presence of jump clustering
Hainaut, Donatien; Moraux, Franck - In: The journal of computational finance 22 (2018) 3, pp. 1-35
Persistent link: https://www.econbiz.de/10011988188