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Accelerated trinomial trees applied to American basket options and American options under the Bates model
O'Sullivan, Conall; O'Sullivan, Stephen - In: The journal of computational finance 19 (2016) 4, pp. 29-72
Persistent link: https://www.econbiz.de/10011603176
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Partial derivatives of uncertain fields and uncertain partial differential equations
Ye, Tingqing - In: Fuzzy optimization and decision making : a journal of … 23 (2024) 2, pp. 199-217
Persistent link: https://www.econbiz.de/10015079781
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Higher-order derivative of uncertain process and higher-order uncertain differential equation
Zhang, Kaixi; Liu, Baoding - In: Fuzzy optimization and decision making : a journal of … 23 (2024) 2, pp. 295-318
Persistent link: https://www.econbiz.de/10015079786
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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
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Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing
Liang, Jian; Xu, Zhe; Li, Peter - In: Quantitative finance 21 (2021) 8, pp. 1309-1323
Persistent link: https://www.econbiz.de/10012608649
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Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations
Crépey, Stéphane; Dixon, Matthew F. - In: The journal of computational finance 24 (2020) 1, pp. 47-81
Persistent link: https://www.econbiz.de/10012421957
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Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino - In: Decisions in economics and finance : a journal of … 44 (2021) 1, pp. 57-72
Persistent link: https://www.econbiz.de/10012587815
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Valuation of stock loans with jump risk
Cai, Ning; Sun, Lihua - In: Journal of economic dynamics & control 40 (2014), pp. 213-241
Persistent link: https://www.econbiz.de/10010424378
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Stochastic correlation and volatility mean-reversion : empirical motivation and derivatives pricing via perturbation theory
Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: Applied mathematical finance 21 (2014) 5/6, pp. 555-594
Persistent link: https://www.econbiz.de/10010500871
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Deep hedging under rough volatility
Horvath, Blanka Nora; Teichmann, Josef; Zuric, Zan - 2021
We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional) Markovian setup. In particular we analyse the hedging performance of the original architecture under rough volatility models with view to existing theoretical results for those....
Persistent link: https://www.econbiz.de/10012800441