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Pricing under the real-world probability measure for jump-diffusion term structure models
Bruti-Liberati, Nicola; Nikitopoulos, Christina Sklibosios - 2007
Persistent link: https://www.econbiz.de/10003685202
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Approximation of jump diffusions in finance and economics
Bruti-Liberati, Nicola; Platen, Eckhard - 2006
Persistent link: https://www.econbiz.de/10003329788
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On weak predictor-corrector schemes for jump-diffusion processes in finance
Bruti-Liberati, Nicola; Platen, Eckhard - 2006
Persistent link: https://www.econbiz.de/10003374003
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Approximation of jump diffusions in finance and economics
Bruti-Liberati, Nicola; Platen, Eckhard - In: Computational economics 29 (2007) 3/4, pp. 283-312
Persistent link: https://www.econbiz.de/10003493806
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On the strong approximation of pure jump processes
Bruti-Liberati, Nicola; Platen, Eckhard - 2005
Persistent link: https://www.econbiz.de/10003183320
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A hardware generator of multi-point distributed random numbers for Monte Carlo simulation
Bruti-Liberati, Nicola; Martini, Filippo; Piccardi, Massimo - 2005
Persistent link: https://www.econbiz.de/10002863383
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On the strong approximation of jump-diffusion processes
Bruti-Liberati, Nicola; Platen, Eckhard - 2005
Persistent link: https://www.econbiz.de/10002863407
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Numerical solution of stochastic differential equations with jumps in finance
Platen, Eckhard; Bruti-Liberati, Nicola - 2010 - 1. ed.
Persistent link: https://www.econbiz.de/10003934874
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Markovian defaultable HJM term structure models with unspanned stochastic volatility
Chiarella, Carl; Chege Maina, Samuel; Nikitopoulos, … - 2010
Persistent link: https://www.econbiz.de/10008663092
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Humps in the volatility structure of the crude oil futures market : new evidence
Chiarella, Carl; Kang, Boda; Nikitopoulos, Christina … - In: Energy economics 40 (2013), pp. 989-1000
Persistent link: https://www.econbiz.de/10010355994