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Introduction: volatility in finance, art, and culture
Lee, Benjamin; Rosamond, Emily - In: Finance and society 9 (2023) 3, pp. 1-17
The term "volatility" applies to changeability: both that which can be measured, such as temperatures and stock prices, and that which cannot be easily measured, such as affects and emotions. Quantitative financial volatility has typically been studied quite separately from art, culture, and...
Persistent link: https://www.econbiz.de/10014371936
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A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021
Persistent link: https://www.econbiz.de/10012813680
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On some functionals of the first passage times in models with switching stochastic volatility
Gapeev, Pavel V.; Brockhaus, Oliver; Dubois, Mathieu - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10011845962
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A Stackelberg game of backward stochastic differential equations with applications
Zheng, Yueyang; Shi, Jingtao - In: Dynamic games and applications : DGA 10 (2020) 4, pp. 968-992
Persistent link: https://www.econbiz.de/10012628843
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The representation of American options prices under stochastic volatility and jump-diffusion dynamics
Cheang, Gerald; Chiarella, Carl; Ziogas, Andrew - 2009
Persistent link: https://www.econbiz.de/10009233319
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Representation of American option prices under Heston stochastic volatility dynamics using integral transforms
Chiarella, Carl; Ziogas, Andrew; Ziveyi, Jonathan - In: Contemporary quantitative finance : essays in honour of …, (pp. 281-315). 2010
Persistent link: https://www.econbiz.de/10008749199
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A BSDE-based approach for the optimal reinsurance problem under partial information
Brachetta, M.; Ceci, C. - In: Insurance / Mathematics & economics 95 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012419211
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Neural networks for option pricing and hedging : a literature review
Ruf, Johannes; Wang, Weiguan - In: The journal of computational finance 24 (2020) 1, pp. 1-46
Persistent link: https://www.econbiz.de/10012421955
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Option valuation and hedging using an asymmetric risk function : asymptotic optimality through fully nonlinear partial differential equations
Gobet, Emmanuel; Pimentel, Isaque; Warin, Xavier - In: Finance and stochastics 24 (2020) 3, pp. 633-675
Persistent link: https://www.econbiz.de/10012518073
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Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
Avanesyan, Levon; Shkolnikov, Mykhaylo; Sircar, Kaushik … - In: Finance and stochastics 24 (2020) 4, pp. 981-1011
Persistent link: https://www.econbiz.de/10012518139