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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
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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
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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
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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
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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
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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
Persistent link: https://www.econbiz.de/10014471160
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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
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Active, or passive? : revisiting the role of fiscal policy in the Great Inflation
Ettmeier, Stephanie; Kriwoluzky, Alexander - 2019
We revisit the question whether U.S. fiscal policy in the pre-Volcker period was active or passive. To determine the policy stance, we estimate a DSGE model with monetary and fiscal policy interactions employing a sequential Monte Carlo algorithm (SMC) for posterior evaluation. In contrast to...
Persistent link: https://www.econbiz.de/10012309706
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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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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
Persistent link: https://www.econbiz.de/10011926570