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isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"The journal of computational finance"
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97
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International journal of theoretical and applied finance
The journal of computational finance
Journal of econometrics
133
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93
Economics letters
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ECONIS (ZBW)
97
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1
Least squares Monte Carlo methods in stochastic Volterra rough volatility models
Guerreiro, Henrique
;
Guerra, João
- In:
The journal of computational finance
26
(
2022
)
3
,
pp. 73-101
Persistent link: https://www.econbiz.de/10014314563
Saved in:
2
Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
Bourgey, Florian
;
De Marco, Stefano
- In:
The journal of computational finance
26
(
2022
)
2
,
pp. 53-82
Persistent link: https://www.econbiz.de/10013549658
Saved in:
3
Branching diffusions with jumps, and valuation with systemic counterparties
Belak, Christoph
;
Hoffmann, Daniel
;
Seifried, Frank Thomas
- In:
The journal of computational finance
25
(
2021
)
3
,
pp. 51-86
Persistent link: https://www.econbiz.de/10012873083
Saved in:
4
Branching particle pricers with heston examples
Kouritzin, Michael A.
;
MacKay, Anne
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012270887
Saved in:
5
Volatility and liquidity on high-frequency electricity futures markets : empirical analysis and stochastic modeling
Kremer, Marcel
;
Benth, Fred Espen
;
Felten, Björn
; …
- In:
International journal of theoretical and applied finance
23
(
2020
)
4
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012271026
Saved in:
6
Second-order Monte Carlo sensitivities
Daluiso, Roberto
- In:
The journal of computational finance
23
(
2020
)
4
,
pp. 61-91
Persistent link: https://www.econbiz.de/10012212482
Saved in:
7
Numerical techniques for the Heston collocated volatility model
Le Floc'h, Fabien
;
Oosterlee, Cornelis Willebrordus
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 59-110
Persistent link: https://www.econbiz.de/10012544158
Saved in:
8
Monte Carlo pathwise sensitivities for barrier options
Gerstner, Thomas
;
Harrach, Bastian von
;
Roth, Daniel
- In:
The journal of computational finance
23
(
2020
)
5
,
pp. 75-99
Persistent link: https://www.econbiz.de/10012295868
Saved in:
9
An adaptive Monte Carlo approach for pricing Parisian options with general boundaries
Gűr, Sercan
- In:
The journal of computational finance
23
(
2020
)
5
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012295871
Saved in:
10
A pairwise local correlation model
Koster, Frank
;
Oeltz, Daniel
- In:
The journal of computational finance
22
(
2018/2019
)
4
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012042217
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