Narrow search
Showing 1 - 10 of 177
Cover Image
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 290 (2021) 3, pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
Cover Image
A general framework for time-changed Markov processes and applications
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 273 (2019) 2, pp. 785-800
Persistent link: https://www.econbiz.de/10011987591
Cover Image
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Kirkby, J. Lars; Nguyen, Duy; Cui, Zhenyu - In: Journal of economic dynamics & control 80 (2017), pp. 75-100
Persistent link: https://www.econbiz.de/10011817629
Cover Image
Integral representations of probability density of stochastic volatility models and timer options
Cui, Zhenyu; Kirkby, J. Lars; Lian, Guanghua; Nguyen, Duy - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-32
Persistent link: https://www.econbiz.de/10011787421
Cover Image
A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 262 (2017) 1, pp. 381-400
Persistent link: https://www.econbiz.de/10011785790
Cover Image
Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: Insurance / Mathematics & economics 74 (2017), pp. 46-62
Persistent link: https://www.econbiz.de/10011712358
Cover Image
Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging
Kirkby, J. Lars; Nguyen, Duy - In: Insurance / Mathematics & economics 100 (2021), pp. 408-428
Persistent link: https://www.econbiz.de/10012622402
Cover Image
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Kirkby, J. Lars; Nguyen, Duy - In: Annals of finance 16 (2020) 3, pp. 307-351
Persistent link: https://www.econbiz.de/10012496337
Cover Image
An analysis of dollar cost averaging and market timing investment strategies
Kirkby, J. Lars; Mitra, Sovan; Nguyen, Duy - In: European journal of operational research : EJOR 286 (2020) 3, pp. 1168-1186
Persistent link: https://www.econbiz.de/10012291635
Cover Image
Omega diffusion risk model with surplus-dependent tax and capital injections
Cui, Zhenyu; Nguyen, Duy - In: Insurance / Mathematics & economics 68 (2016), pp. 150-161
Persistent link: https://www.econbiz.de/10011492639