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Computational finance
Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4
use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use … of numerical methods for pricing, hedging, and risk management of financial instruments. …
Persistent link: https://www.econbiz.de/10012309311
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Valuation, hedging, and bounds of swaps under multi-factor BNS-type stochastic volatility models
Issaka, Aziz - In: Annals of financial economics 15 (2020) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10012642967
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Futures hedging with stochastic volatility : a new method
Alghalith, Moawia; Floros, Christos - In: International journal of computational economics and … 10 (2020) 2, pp. 203-207
Persistent link: https://www.econbiz.de/10012226719
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Pricing options on forwards in energy markets : the role of mean reversion's speed
Schmeck, Maren Diane - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-26
Persistent link: https://www.econbiz.de/10011686772
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Simple robust hedging with nearby contracts
Wu, Liuren; Zhu, Jingyi - In: Journal of financial econometrics : official journal of … 15 (2017) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10011658670
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KrigHedge : Gaussian process surrogates for Delta hedging
Ludkovski, Mike; Saporito, Yuri - In: Applied mathematical finance 28 (2021) 4, pp. 330-360
Persistent link: https://www.econbiz.de/10013411700
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Option hedging and implicit volatilities in a stochastic volatility model
Renault, Eric; Touzi, Nizar - 1993 - Rev
Persistent link: https://www.econbiz.de/10000874371
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Pricing, hedging, and calibration in jump-diffusion models
Tankov, Peter; Voltchkova, Ekaterina - In: Frontiers in quantitative finance : volatility and …, (pp. 129-160). 2009
Persistent link: https://www.econbiz.de/10003787598
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Optimal static-dynamic hedges for barrier options
Ilhan, Aytaç; Sircar, Kaushik Ronnie - In: Mathematical finance : an international journal of … 16 (2006) 2, pp. 359-385
Persistent link: https://www.econbiz.de/10003326016
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Essays on market frictions and model misspecification in asset pricing
Seeger, Norman - 2009
Persistent link: https://www.econbiz.de/10003863665