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Estimating risks of European option books using neural stochastic differential equation market models
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - In: The journal of computational finance 26 (2022) 3, pp. 33-72
Persistent link: https://www.econbiz.de/10014314556
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Comparison theorems for finite state backward stochastic differential equations
Cohen, Samuel N.; Elliott, Robert J. - In: Contemporary quantitative finance : essays in honour of …, (pp. 135-158). 2010
Persistent link: https://www.econbiz.de/10008749289
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Stochastic processes, finance and control : a Festschrift in honor of Robert J. Elliott
Cohen, Samuel N. (ed.); Madan, Dilip B. (ed.);  … - 2012
This title consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering--
Persistent link: https://www.econbiz.de/10012658655
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Transition probability of Brownian motion in the octant and its application to default modelling
Kaushansky, Vadim; Lipton, Alexander; Reisinger, Christoph - In: Applied mathematical finance 25 (2018) 5/6, pp. 434-465
Persistent link: https://www.econbiz.de/10012129173
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A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston-Cox-Ingersoll-Ross model
Cozma, Andrei; Reisinger, Christoph - In: The journal of computational finance 20 (2016/2017) 3, pp. 109-149
Persistent link: https://www.econbiz.de/10011689688
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Numerical valuation of basket credit derivatives in structural jump-diffusion models
Bujok, Karolina; Reisinger, Christoph - In: The journal of computational finance 15 (2011/12) 4, pp. 115-158
Persistent link: https://www.econbiz.de/10009575385
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Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
Bain, Alan; Mariapragassam, Matthieu; Reisinger, Christoph - In: The journal of computational finance 24 (2021) 4, pp. 115-161
Persistent link: https://www.econbiz.de/10012544167