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Robust product Markovian quantization
Rudd, Ralph; McWalter, Thomas A.; Kienitz, Jörg; … - In: The journal of computational finance 25 (2022) 4, pp. 55-78
Persistent link: https://www.econbiz.de/10014546287
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Numerical methods for the quadratic hedging problem in Markov models with jumps
De Franco, Carmine; Tankov, Peter; Warin, Xavier - In: The journal of computational finance 19 (2015/2016) 2, pp. 29-67
Persistent link: https://www.econbiz.de/10011442638
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Option pricing in exponential Lévy models with transaction cost
Cantarutti, Nicola; Guerra, Manuel; Guerra, João; … - In: The journal of computational finance 23 (2020) 5, pp. 1-31
Persistent link: https://www.econbiz.de/10012295860
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The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro; Kirkby, J. Lars; Ortiz-Garcia, Luis - In: The journal of computational finance 24 (2021) 4, pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
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Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
Bain, Alan; Mariapragassam, Matthieu; Reisinger, Christoph - In: The journal of computational finance 24 (2021) 4, pp. 115-161
Persistent link: https://www.econbiz.de/10012544167
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Hybrid finite-difference/pseudospectral methods for the Heston and Heston-Hull-White partial differential equations
Hendricks, Christian; Ehrhardt, Matthias; Günther, Michael - In: The journal of computational finance 21 (2017/2018) 5, pp. 1-33
Persistent link: https://www.econbiz.de/10011860891
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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
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Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model
Korn, Ralf; Liang, Qian - In: The journal of computational finance 17 (2013/2014) 3, pp. 87-110
Persistent link: https://www.econbiz.de/10010366276
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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