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The journal of computational finance
Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty
15
International journal of theoretical and applied finance
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ECONIS (ZBW)
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1
Sharp L¹-approximation of the log-Heston stochastic differential equation by Euler-type methods
Mickel, Annalena
;
Neuenkirch, Andreas
- In:
The journal of computational finance
26
(
2023
)
4
,
pp. 67-100
Persistent link: https://www.econbiz.de/10014342066
Saved in:
2
Robust pricing and hedging via neural stochastic differential equations
Gierjatowicz, Patrick
;
Sabate-Vidales, Marc
;
Siska, David
; …
- In:
The journal of computational finance
26
(
2022
)
3
,
pp. 1-32
Persistent link: https://www.econbiz.de/10014314540
Saved in:
3
Estimating risks of European option books using neural stochastic differential equation market models
Cohen, Samuel N.
;
Reisinger, Christoph
;
Wang, Sheng
- In:
The journal of computational finance
26
(
2022
)
3
,
pp. 33-72
Persistent link: https://www.econbiz.de/10014314556
Saved in:
4
A review of tree-based approaches to solving forward-backward stochastic differential equations
Teng, Long
- In:
The journal of computational finance
25
(
2021
)
3
,
pp. 125-159
Persistent link: https://www.econbiz.de/10012873086
Saved in:
5
Neural networks for option pricing and hedging : a literature review
Ruf, Johannes
;
Wang, Weiguan
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 1-46
Persistent link: https://www.econbiz.de/10012421955
Saved in:
6
Efficient conservative second-order central-upwind schemes for option-pricing problems
Bhatoo, Omishwary
;
Peer, Arshad Ahmud Iqbal
;
Tadmor, Eitan
- In:
The journal of computational finance
22
(
2018/2019
)
5
,
pp. 71-101
Persistent link: https://www.econbiz.de/10012042237
Saved in:
7
Hybrid finite-difference/pseudospectral methods for the Heston and Heston-Hull-White partial differential equations
Hendricks, Christian
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
The journal of computational finance
21
(
2017/2018
)
5
,
pp. 1-33
Persistent link: https://www.econbiz.de/10011860891
Saved in:
8
A new nonlinear partial differential equation in finance and a method of its solution
Itkin, Andrey
- In:
The journal of computational finance
21
(
2017/2018
)
4
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011848371
Saved in:
9
Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach
Calvo-Garrido, M. C.
;
Ehrhardt, Matthias
;
Vázquez, Carlos
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 81-107
Persistent link: https://www.econbiz.de/10011689686
Saved in:
10
A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston-Cox-Ingersoll-Ross model
Cozma, Andrei
;
Reisinger, Christoph
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 109-149
Persistent link: https://www.econbiz.de/10011689688
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