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ИССЛЕДОВАНИЯ ПРОЦЕССА ОРНШТЕЙНА – УЛЕНБЕКА МЕТОДАМИ СПЕКТРАЛЬНОГО АНАЛИЗА
ВЛАДИМИРОВИЧ, БУРТНЯК ИВАН; … - In: Проблемы экономики (2014) 3, pp. 349-356
Целью данной статьи является разработка методов вычисления приближенной цены для широкого класса ценных бумаг с помощью инструментов спектрального анализа,...
Persistent link: https://www.econbiz.de/10011270300
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Calculation of Option Prices using Methods of Spectral Analysis
Vladimirovich, Burtnyak Ivan; Malitskaya Anna P. - In: Business Inform (2013) 4, pp. 152-157
The article develops a systematic method of calculation of an approximate price for a wide range of securities with the help of instruments of spectral analysis, singular and regular wave theory. Price of options depend on stochastic volatility, which depends on a method. Finding the price is...
Persistent link: https://www.econbiz.de/10010855759
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Pricing derivatives on multiscale diffusions : an eigenfunction expansion approach
Lorig, Matthew - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 331-363
Persistent link: https://www.econbiz.de/10010357372
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СПЕКТРАЛЬНАЯ ТЕОРИЯ РИСКОВ
АЛЕКСЕЕВИЧ, МАТВЕЕВ БОРИС - In: Вестник Южно-Уральского … 8 (2014) 3, pp. 20-24
Статья посвящена новому разделу науки о рисках, в основе которой лежит спектральная теория случайных процессов. Спектральная теория позволяет расширить наши...
Persistent link: https://www.econbiz.de/10011237421
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The Heston stochastic-local volatility model : efficient Monte Carlo simulation
Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-30
Persistent link: https://www.econbiz.de/10010498851
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Calibrating local volatility models with stochastic drift and diffusion
Ögetbil, Orcan; Ganesan, Narayan; Hientzsch, Bernhard - In: International journal of theoretical and applied … 25 (2022) 2, pp. 1-43
Persistent link: https://www.econbiz.de/10013189965
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Multi-Asset portfolio optimization with stochastic Sharpe ratio under drawdown constraint
Biswas, Subhojit; Jawaid, Saif; Mukherjee, Diganta - In: Annals of financial economics 15 (2020) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10012642950
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Local volatility pricing models for long-dated FX derivatives
Deelstra, Griselda; Rayée, Grégory - In: Applied mathematical finance 20 (2013) 3/4, pp. 380-402
Persistent link: https://www.econbiz.de/10010187656
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Fair value accounting in the absence of prudence in accounting standards : an illustration with exotic derivatives
Marabel-Romo, Jacinto; Guiral, Andrés; Crespo Espert, … - In: Spanish journal of finance and accounting 46 (2017) 2/174, pp. 145-167
Persistent link: https://www.econbiz.de/10012128154
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Smile modeling in commodity markets
Nastasi, Emanuele; Pallavicini, Andrea; Sartorelli, Giulio - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10012271006