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The Heston stochastic-local volatility model : efficient Monte Carlo simulation
Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-30
Persistent link: https://www.econbiz.de/10010498851
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The time-dependent FX-SABR model : efficient calibration based on effective parameters
Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-38
Persistent link: https://www.econbiz.de/10011403947
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Efficient computation of exposure profiles for counterparty credit risk
Graaf, Cornelis S. L. de; Feng, Qian; Kandhai, Drona; … - In: International journal of theoretical and applied finance 17 (2014) 4, pp. 1-23
Persistent link: https://www.econbiz.de/10010391508
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Calibration and Monte Carlo pricing of the SABR–Hull–White model for long-maturity equity derivatives
Chen, Bin; Grzelak, Lech A.; Oosterlee, Cornelis W. - In: The journal of computational finance 15 (2011/12) 4, pp. 79-113
Persistent link: https://www.econbiz.de/10009575387
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An equity-interest rate hybrid model with stochastic volatility and the interest rate smile
Grzelak, Lech A.; Oosterlee, Cornelis W. - In: The journal of computational finance 15 (2011/12) 4, pp. 45-77
Persistent link: https://www.econbiz.de/10009575390
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On cross-currency models with stochastic volatility and correlated interest rates
Grzelak, Lech A.; Oosterlee, Cornelis W. - In: Applied mathematical finance 19 (2012) 1/2, pp. 1-35
Persistent link: https://www.econbiz.de/10009561244
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A low-bias simulation scheme for the Sabr Stochastic Volatility model
Chen, Bin; Oosterlee, Cornelis W.; Weide, Hans van der - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10009624504
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Analytical approximation to constant maturity swap convexity corrections in a multi-factor SABR model
Chen, Bin; Oosterlee, Cornelis W.; Weeren, Sacha van - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1019-1046
Persistent link: https://www.econbiz.de/10008906224
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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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On American options under the Variance Gamma process
Almendral, Ariel; Oosterlee, Cornelis W. - In: Applied mathematical finance 14 (2007) 2, pp. 131-152
Persistent link: https://www.econbiz.de/10003542979