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~isPartOf:"The journal of computational finance"
~isPartOf:"Tübinger Diskussionsbeiträge"
~subject:"Numerisches Verfahren"
~subject:"Option pricing theory"
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Numerisches Verfahren
Option pricing theory
Analysis
20
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20
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12
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12
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The journal of computational finance
Tübinger Diskussionsbeiträge
International journal of theoretical and applied finance
15
Finance and stochastics
8
Mathematical finance : an international journal of mathematics, statistics and financial theory
8
Quantitative finance
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Journal of mathematical finance
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International journal of theoretical and applied finance : IJTAF
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Contemporary quantitative finance : essays in honour of Eckhard Platen
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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Decisions in economics and finance : a journal of applied mathematics
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Asia-Pacific financial markets
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Cogent economics & finance
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Computational methods in financial engineering : essays in honour of Manfred Gilli
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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
Saved in:
9
Calibration of local correlation models to basket smiles
Guyon, Julien
- In:
The journal of computational finance
21
(
2017
)
1
,
pp. 1-51
Persistent link: https://www.econbiz.de/10011691606
Saved in:
10
A reduced basis method for parabolic partial differential equations with parameter functions and application to option pricing
Mayerhofer, Antonia Christine
;
Urban, Karsten
- In:
The journal of computational finance
20
(
2016/2017
)
4
,
pp. 71-106
Persistent link: https://www.econbiz.de/10011691633
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