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Search: isPartOf:"The journal of computational finance"
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Option pricing theory
265
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132
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Madan, Dilip B.
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The journal of computational finance
448
The journal of computational finance : JFC
14
Source
All
ECONIS (ZBW)
395
OLC EcoSci
67
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11
Toward a unified implementation of regression Monte Carlo algorithms
Ludkovski, Mike
- In:
The journal of computational finance : JFC
27
(
2023
)
1
,
pp. 59-109
Persistent link: https://www.econbiz.de/10014486934
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12
Refined analysis of the no-butterfly-arbitrage domain for SSVI slices
Martini, Claude
;
Mingone, Arianna
- In:
The journal of computational finance : JFC
27
(
2023
)
2
,
pp. 1-32
Persistent link: https://www.econbiz.de/10014486951
Saved in:
13
Hedging of financial derivative contracts via Monte Carlo tree search
Szehr, Oleg
- In:
The journal of computational finance : JFC
27
(
2023
)
2
,
pp. 47-80
Persistent link: https://www.econbiz.de/10014487005
Saved in:
14
Automatic adjoint differentiation for special functions involving expectations
Brito, José
;
Goloubentsev, Andrei
;
Goncharov, Evgeny
- In:
The journal of computational finance : JFC
27
(
2023
)
2
,
pp. 33-46
Persistent link: https://www.econbiz.de/10014487027
Saved in:
15
Neural variance reduction for stochastic differential equations
Hinds, P. D.
;
Tretyakov, M. V.
- In:
The journal of computational finance : JFC
27
(
2023
)
3
,
pp. 1-41
Persistent link: https://www.econbiz.de/10014487028
Saved in:
16
Optimal damping with a hierarchical adaptive quadrature for efficient Fourier pricing of multi-asset options in Lévy models
Bayer, Christian
;
Ben Hammouda, Chiheb
;
Papapantoleon, …
- In:
The journal of computational finance : JFC
27
(
2023
)
3
,
pp. 43-86
Persistent link: https://www.econbiz.de/10014487037
Saved in:
17
Extremiles, quantiles and expectiles in the tails
Furno, Marilena
- In:
The journal of computational finance : JFC
27
(
2023
)
3
,
pp. 87-113
Persistent link: https://www.econbiz.de/10014487044
Saved in:
18
Evaluating credit valuation adjustment with wrong-way risk for Bermudan options
Dong, Bing
;
Xu, Wei
;
Wang, Guangguang
- In:
The journal of computational finance : JFC
27
(
2023
)
3
,
pp. 115-155
Persistent link: https://www.econbiz.de/10014487048
Saved in:
19
Simulating the Cox-Ingersoll-Ross and Heston processes : matching the first four moments
Okhrin, Ostap
;
Rockinger, Michael
;
Schmid, Manuel
- In:
The journal of computational finance
26
(
2022
)
2
,
pp. 1-52
Persistent link: https://www.econbiz.de/10013549657
Saved in:
20
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:
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