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Simulation of Arbitrage-Free Implied Volatility Surfaces

Cont, Rama; Vuletić, Milena - 2023

We present a computationally tractable method for simulating arbitrage free implied volatility surfaces. We illustrate how our method may be combined with a factor model for the implied volatility surface to generate dynamic scenarios for arbitrage-free implied volatility surfaces. Our approach...

Persistent link: https://www.econbiz.de/10014258455

Dimension and Variance Reduction for Monte Carlo Methods for High-Dimensional Models in Finance

Dang, Duy-Minh - 2015

original model are completely removed from the drMC simulation. Moreover, under the drMC framework, hedging parameters, or …

Persistent link: https://www.econbiz.de/10013029895

An introduction to computational finance

Uǧur, Ömür - 2009

Persistent link: https://www.econbiz.de/10003742360

Asymptotic normality for EMS option price estimator with continuous or discontinuous payoff functions

Yuan, Zhushun; Chen, Gemai - In: Management science : journal of the Institute for … 55 (2009) 8, pp. 1438-1450

Persistent link: https://www.econbiz.de/10003885452

Monte Carlo techniques in pricing and using derivatives

Marshall, Cara M. - In: Financial derivatives : pricing and risk management, (pp. 425-440). 2010

Persistent link: https://www.econbiz.de/10003920439

Tools for computational finance

Seydel, Rüdiger - 2006 - 3. ed.

Persistent link: https://www.econbiz.de/10003301721

Simulation techniques in financial risk management : [with website]

Chan, Ngai Hang; Wong, Hoi Ying - 2015 - 2. ed.

Praise for the First Edition“…a nice, self-contained introduction to simulation and computational techniques in finance … examples to illustrate how to use simulation techniques in risk managementPractical case studies, such as the pricing of exotic … VBA and S-Plus computer code for many of the examples within the book Simulation Techniques in Financial Risk Management …

Persistent link: https://www.econbiz.de/10011283286

The simulation of European call options' sensitivity based on black-scholes option formula

Cui, Yujie; Yu, Baoli - In: Journal of mathematical finance 2 (2012) 3, pp. 264-268

Persistent link: https://www.econbiz.de/10009711970

Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs

Joshi, Mark S.; Zhu, Dan - In: Applied mathematical finance 23 (2016) 1/2, pp. 22-56

Persistent link: https://www.econbiz.de/10011546983

Tools for computational finance

Seydel, Rüdiger - 2009 - 4. ed.

Persistent link: https://www.econbiz.de/10003801677