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Pricing and hedging of CDO-squared tranches by using a one factor Lévy model

Guillaume, Florence; Jacobs, Philippe; Schoutens, Wim - In: International journal of theoretical and applied finance 12 (2009) 5, pp. 663-685

Persistent link: https://www.econbiz.de/10003899503

Comparing some alternative Lévy base correlation models for pricing and hedging CDO tranches

Masol, Viktoriya; Schoutens, Wim - 2008

Persistent link: https://www.econbiz.de/10003709746

Simple processes and the pricing and hedging of Cliquets

Madan, Dilip B.; Schoutens, Wim - In: Mathematical finance : an international journal of … 23 (2013) 1, pp. 198-216

Persistent link: https://www.econbiz.de/10009712550

Hedging under the Heston model with jump-to-default

Carr, Peter; Schoutens, Wim - In: International journal of theoretical and applied finance 11 (2008) 4, pp. 403-414

Persistent link: https://www.econbiz.de/10003746726

Static hedging of Asian options under Lévy models

Albrecher, Hansjörg; Dhaene, Jan; Goovaerts, Marc J.; … - In: The journal of derivatives : the official publication … 12 (2004) 3, pp. 63-72

Persistent link: https://www.econbiz.de/10002672510

Static hedging of Asian options under Lévy models : the comonotonicity approach

Albrecher, Hansjörg; Dhaene, Jan; Goovaerts, Marc J.; … - 2003

Persistent link: https://www.econbiz.de/10001938553

Machine Learning for Quantitative Finance : Fast Derivative Pricing, Hedging and Fitting

De Spiegeleer, Jan - 2018

In this paper, we show how we can deploy machine learning techniques in the context of traditional quant problems. We illustrate that for many classical problems, we can arrive to speed-ups of several orders of magnitude by deploying machine learning techniques based on Gaussian process...

Persistent link: https://www.econbiz.de/10012917368

Simple Processes and the Pricing and Hedging of Cliquets

Madan, Dilip B. - 2010

of hedging cliquet liabilities using call options as hedging assets permiting a 10% reduction in ask prices …

Persistent link: https://www.econbiz.de/10013148255

Machine learning for quantitative finance : fast derivative pricing, hedging and fitting

De Spiegeleer, Jan; Madan, Dilip B.; Reyners, Sofie; … - In: Quantitative finance 18 (2018) 10, pp. 1635-1643

Persistent link: https://www.econbiz.de/10012259802

Applied conic finance

Madan, Dilip B.; Schoutens, Wim - 2016

numerous real-world applications, including portfolio theory, option positioning, hedging, and trading contexts. This book …-world applications, including portfolio theory, option positioning, hedging, and trading contexts. This book offers a quantitative and …

Persistent link: https://www.econbiz.de/10013547026