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Skewed Lévy models and implied volatility skew

Olivera, Federico de; Barbachan, José Santiago Fajardo; … - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10011854458

Discrete-time quadratic hedging of barrier options in exponential Lévy model

Černý, Aleš - In: Advanced modelling in mathematical finance : in honour …, (pp. 257-275). 2016

Persistent link: https://www.econbiz.de/10011800380

Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework

Benth, Fred Espen - In: Advanced modelling in mathematical finance : in honour …, (pp. 477-496). 2016

Persistent link: https://www.econbiz.de/10011800392

A Monte Carlo study on multiple output stochastic frontiers : a comparison of two approaches

Henningsen, Géraldine; Henningsen, Arne; Jensen, Uwe - In: Journal of productivity analysis 44 (2015) 3, pp. 309-320

Persistent link: https://www.econbiz.de/10011578895

Modeling a dynamic portfolio for pension plans in emerging markets with myopic and nonmyopic behavior

Pimentel, Livia F.; Santiago, Leonardo P. - In: Emerging markets finance & trade : a journal of the … 51 (2015), pp. 14-26

Persistent link: https://www.econbiz.de/10011561376

Learning the random variables in Monte Carlo simulations with stochastic gradient descent : machine learning for parametric PDEs and financial derivative pricing

Becker, Sebastian; Jentzen, Arnulf; Müller, Marvin S.; … - In: Mathematical finance : an international journal of … 34 (2024) 1, pp. 90-150

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Empirical versus exogenous spatial weighting matrices : an entropy-based intermediate solution

Fernández Vázquez, Esteban - 2010

The traditional approach to estimate spatial models bases on a preconceived spatial weights matrix to measure spatial interaction among locations. The a priori assumptions used to define this matrix are supposed to be in line with the "true" spatial relationships among the locations of the...

Persistent link: https://www.econbiz.de/10012172405

XVA principles, nested Monte Carlo strategies, and GPU optimizations

Abbas-Turki, Lokman A.; Crépey, Stéphane; Diallo, Babacar - In: International journal of theoretical and applied finance 21 (2018) 6, pp. 1-40

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Econometric estimation of distance functions and associated measures of productivity and efficiency change

O'Donnell, Christopher John - In: Journal of productivity analysis 41 (2014) 2, pp. 187-200

Persistent link: https://www.econbiz.de/10010478331

Computing credit valuation adjustment solving coupled PIDEs in the Bates model

Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino - In: Computational management science 17 (2020) 2, pp. 163-178

Persistent link: https://www.econbiz.de/10012272056

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