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Optimal portfolio series formula under dynamic appreciation rate uncertainty
Stojanovic, Srdjan - In: The journal of computational finance 8 (2004/2005) 2, pp. 19-54
Persistent link: https://www.econbiz.de/10002597566
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Cumulative prospect theory and mean-variance analysis : a rigorous comparison
Hens, Thorsten; Mayer, János - In: The journal of computational finance 21 (2017/2018) 3, pp. 47-73
Persistent link: https://www.econbiz.de/10011848338
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Optimal trade execution with uncertain volume target
Vaes, Julien; Hauser, Raphael A. - In: The journal of computational finance 26 (2022) 1, pp. 37-80
Persistent link: https://www.econbiz.de/10014546277
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The pricing of floating rate instruments
Cathcart, Lara - In: The journal of computational finance 1 (1998) 4, pp. 31-51
Persistent link: https://www.econbiz.de/10001366221
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A novel Fourier transform B-spline method for option pricing
Haslip, Gareth G.; Kaishev, Vladimir K. - In: The journal of computational finance 19 (2015) 1, pp. 41-74
Persistent link: https://www.econbiz.de/10011480709
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On the application of spectral filters in a Fourier option pricing technique
Ruijter, Marjon; Versteegh, M.; Oosterlee, Cornelis … - In: The journal of computational finance 19 (2015) 1, pp. 75-106
Persistent link: https://www.econbiz.de/10011480718
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E-monotone Fourier methods for optimal stochastic control in finance
Forsyth, Peter A.; Labahn, George - In: The journal of computational finance 22 (2018/2019) 4, pp. 25-71
Persistent link: https://www.econbiz.de/10012042218
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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
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The extended SSVI volatility surface
Hendriks, Sebas; Martini, Claude - In: The journal of computational finance 22 (2018/2019) 5, pp. 25-39
Persistent link: https://www.econbiz.de/10012042223
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Complexity reduction for calibration to American options
Burkovska, Olena; Glau, Kathrin; Mahlstedt, Mirco; … - In: The journal of computational finance 23 (2019) 1, pp. 25-60
Persistent link: https://www.econbiz.de/10012064981