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Sensitivity analysis for the stationary distribution of reflected brownian motion in a convex polyhedral cone
Lipshutz, David; Ramanan, Kavita - In: Mathematics of operations research 46 (2021) 2, pp. 524-558
Persistent link: https://www.econbiz.de/10012582181
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Applications of simulation-based methods in finance : the use of ModelRisk software
Habibi, Hamed; Habibi, Reza - In: Journal of advanced studies in finance : JASF 7 (2016) 1/13, pp. 82-89
Persistent link: https://www.econbiz.de/10011720964
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Modeling and valuation of energy structures : analylsis., econometrics, and numerics
Mahoney, Daniel - 2016
Persistent link: https://www.econbiz.de/10011399615
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Pricing American stock options by linear programming
Dempster, Michael A. H.; Hutton, J. P. - In: Mathematical finance : an international journal of … 9 (1999) 3, pp. 229-254
Persistent link: https://www.econbiz.de/10001444164
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Calibrating option pricing models with heuristics
Gilli, Manfred; Schumann, Enrico - In: Natural computing in computational finance : volume 4, (pp. 9-37). 2011
Persistent link: https://www.econbiz.de/10009423553
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Optimal switching decisions under stochastic volatility with fast mean reversion
Tsekrekos, Andrianos E.; Yannacopoulos, Athanasios N. - In: European journal of operational research : EJOR 251 (2016) 1, pp. 148-157
Persistent link: https://www.econbiz.de/10011446242
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A Dual Algorithm for Stochastic Control Problems : Applications to Uncertain Volatility Models and CVA
Henry-Labordere, Pierre - 2015
We derive an algorithm in the spirit of Rogers and Davis & Burstein that leads to upper bounds for stochastic control problems. Our bounds complement lower biased estimates recently obtained in Guyon & Henry-Labordère. We evaluate our estimates in numerical examples motivated from mathematical...
Persistent link: https://www.econbiz.de/10013023827
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Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme
Shinozaki, Yuji - In: Quantitative finance 21 (2021) 7, pp. 1147-1161
Persistent link: https://www.econbiz.de/10012588029
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Robust Investment-Reinsurance Optimization with Multiscale Stochastic Volatility
Pun, Chi Seng - 2020
This paper investigates the investment and reinsurance problem in the presence of stochastic volatility for an … asset following a multiscale stochastic volatility (SV) model. We formulate the robust optimal investment and reinsurance … tracking of volatility factors. Numerical study is conducted to demonstrate the practical use of theoretical results and to …
Persistent link: https://www.econbiz.de/10012832645
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Calibration of local-stochastic volatility models by optimal transport
Guo, Ivan; Loeper, Grégoire; Wang, Shiyi - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 46-77
Persistent link: https://www.econbiz.de/10012815947