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Option pricing theory
256
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256
Stochastic process
103
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103
Option trading
79
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79
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The journal of computational finance
Journal of banking & finance
1,092
NBER working paper series
1,055
Working paper / National Bureau of Economic Research, Inc.
841
NBER Working Paper
817
The journal of real estate finance and economics
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IMF Staff Country Reports
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Finance research letters
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International journal of production research
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Journal of financial stability
336
The journal of futures markets
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International review of financial analysis
324
Discussion papers / CEPR
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Finance and economics discussion series
318
International review of economics & finance : IREF
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Journal of economic dynamics & control
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Journal of urban economics
292
CESifo working papers
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The review of financial studies
289
Real estate economics : journal of the American Real Estate and Urban Economics Association
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Applied economics letters
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Working paper series / European Central Bank
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Regional science & urban economics
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ECONIS (ZBW)
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1
Updating the option implied probability of default methodology
Vilsmeier, Johannes
- In:
The journal of computational finance
19
(
2016
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011563457
Saved in:
2
Extended saddlepoint methods for credit risk measurement
García-Céspedes, Rúben
;
Moreno, Manuel
- In:
The journal of computational finance
20
(
2016
)
2
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011656202
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3
An exit-probability-based approach for the valuation of defaultable securities
Caramellino, Lucia
;
Iovino, Maria Gabriella
- In:
The journal of computational finance
6
(
2002
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10001704737
Saved in:
4
A Tree implementation of a credit spread model for credit derivatives
Schönbucher, Philipp J.
- In:
The journal of computational finance
6
(
2002
)
2
,
pp. 1-38
Persistent link: https://www.econbiz.de/10001740884
Saved in:
5
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
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6
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
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7
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
Saved in:
8
Efficient estimation of sensitivities for counterparty credit risk with the finite difference Monte Carlo method
Graaf, Cornelis S. L. de
;
Kandhai, Drona
;
Sloot, Peter M. A.
- In:
The journal of computational finance
21
(
2017
)
1
,
pp. 83-113
Persistent link: https://www.econbiz.de/10011691615
Saved in:
9
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
Saved in:
10
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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