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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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Polynomial upper and lower bounds for financial derivative price functions under regime-switching
Bhim, Louis; Kawai, Reiichiro - In: The journal of computational finance 22 (2018) 2, pp. 35-71
Persistent link: https://www.econbiz.de/10011976660
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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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BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
Arnsdorf, Matthias; Halperin, Igor - In: The journal of computational finance 12 (2008/09) 2, pp. 77-107
Persistent link: https://www.econbiz.de/10009534630
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Markovian projection onto a Heston model
Antonov, Alexandre; Misirpashaev, Timur; Piterbarg, Vladimir - In: The journal of computational finance 13 (2009/10) 1, pp. 23-47
Persistent link: https://www.econbiz.de/10003969739
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A swaption volatility model using Markov regime switching
White, Richard; Rebonato, Riccardo - In: The journal of computational finance 12 (2008) 1, pp. 79-114
Persistent link: https://www.econbiz.de/10009534634
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A generalized risk budgeting approach to portfolio construction
Haugh, Martin B.; Iyengar, Garud; Song, Irene - In: The journal of computational finance 21 (2017/2018) 2, pp. 29-60
Persistent link: https://www.econbiz.de/10011848310