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Search: isPartOf:"The journal of computational finance"
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Option pricing theory
265
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152
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132
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132
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Madan, Dilip B.
9
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7
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7
Vázquez, Carlos
7
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6
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6
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5
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Oosterlee, Cornelis Willebrordus
5
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4
Chan, Jiun Hong
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The journal of computational finance
448
The journal of computational finance : JFC
14
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ECONIS (ZBW)
395
OLC EcoSci
67
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61
Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations
Crépey, Stéphane
;
Dixon, Matthew F.
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 47-81
Persistent link: https://www.econbiz.de/10012421957
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62
High-order approximations to call option prices in the Heston model
Gulisashvili, Archil
;
Lagunas-Merino, Marc
;
Merino, Raúl
; …
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 83-102
Persistent link: https://www.econbiz.de/10012421960
Saved in:
63
Dynamic refinement of the term structure: time-homogeneous term structure modeling
Fries, Christian
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 103-129
Persistent link: https://www.econbiz.de/10012421963
Saved in:
64
Pricing path-dependent Bermudan options using Wiener chaos expansion : an embarrassingly parallel approach
Lelong, Jérôme
- In:
The journal of computational finance
24
(
2020
)
2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012543612
Saved in:
65
On extensions of the Barone-Adesi and Whaley method to price American-type options
Mathys, Ludovic
- In:
The journal of computational finance
24
(
2020
)
2
,
pp. 33-76
Persistent link: https://www.econbiz.de/10012543615
Saved in:
66
Pricing multiple barrier derivatives under stochastic volatility
Escobar, Marcos
;
Panz, Sven
;
Zagst, Rudi
- In:
The journal of computational finance
24
(
2020
)
2
,
pp. 77-101
Persistent link: https://www.econbiz.de/10012543622
Saved in:
67
Finding the nearest covariance matrix : the foreign exchange market case
Minabutdinov, Aleksey
;
Manaev, Ilya
;
Bouev, Maxim
- In:
The journal of computational finance
24
(
2020
)
2
,
pp. 103-127
Persistent link: https://www.econbiz.de/10012543624
Saved in:
68
Nowcasting networks
Chataigner, Marc
;
Crépey, Stéphane
;
Pu, Jiang
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 1-39
Persistent link: https://www.econbiz.de/10012543628
Saved in:
69
Introducing two mixing fractions to a lognormal local-stochastic volatility model
Lee, Geoffrey
;
Owens, Bowie
;
Zhu, Zili
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 41-58
Persistent link: https://www.econbiz.de/10012543634
Saved in:
70
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:
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