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Daluiso, Roberto - In: The journal of computational finance 23 (2020) 4, pp. 61-91

Persistent link: https://www.econbiz.de/10012212482

Gradient boosting for quantitative finance

Davis, Jesse; Devos, Laurens; Reyners, Sofie; Schoutens, Wim - In: The journal of computational finance 24 (2021) 4, pp. 1-40

Persistent link: https://www.econbiz.de/10012544161

Calibration of the Heston stochastic local volatility model : a finite volume scheme

Engelmann, Bernd; Koster, Frank; Oeltz, Daniel - In: International journal of financial engineering 8 (2021) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10012654678

Derivatives pricing via machine learning

Ye, Tingting; Zhang, Liangliang - In: Journal of mathematical finance 9 (2019) 3, pp. 561-589

Persistent link: https://www.econbiz.de/10012210443

Pricing and hedging of derivatives in contagious markets

Kokholm, Thomas - In: Journal of banking & finance 66 (2016), pp. 19-34

Persistent link: https://www.econbiz.de/10011634490

A note on utility indifference pricing

Gerer, Johannes; Dorfleitner, Gregor - In: International journal of theoretical and applied finance 19 (2016) 6, pp. 1-17

Persistent link: https://www.econbiz.de/10011572373

Electricity derivatives pricing with forward-looking information

Füss, Roland; Mahringer, Steffen; Prokopczuk, Marcel - In: Journal of economic dynamics & control 58 (2015), pp. 34-57

Persistent link: https://www.econbiz.de/10011574636

Electricity market coupling and the pricing of transmission rights : an option-based approach

Mahringer, Steffen; Füss, Roland; Prokopczuk, Marcel - 2015 - This version: June 2015

In electricity markets globally, market participants and policymakers increasingly focus on integrating adjacent, yet separate market areas via cross-border trade in electricity. Based on a discussion of the institutional framework for organizing cross-border trade, this paper analyzes how spot...

Persistent link: https://www.econbiz.de/10011344188

An imprecise pricing model for Asian options based on nonparametric predictive inference

He, Ting - In: Pacific-Basin finance journal 77 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014463687

A general method for valuing complex capital structures

Borochin, Paul; Kopeliovich, Yaacov; Shea, Kevin - In: Finance research letters 35 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012438435