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Joshi, Mark
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The journal of computational finance
67
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OLC EcoSci
67
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RESEARCH PAPERS - Numerical methods for an optimal order execution problem
Guilbaud, Fabien
;
Mnif, Mohamed
;
Pham, Huyên
- In:
The journal of computational finance
16
(
2013
)
3
,
pp. 3-46
Persistent link: https://www.econbiz.de/10010104410
Saved in:
2
Fast and accurate long-stepping simulation of the Heston stochastic volatility model
Chan, Jiun Hong
;
Joshi, Mark
- In:
The journal of computational finance
16
(
2013
)
3
,
pp. 47-98
Persistent link: https://www.econbiz.de/10010104411
Saved in:
3
Pricing high-dimensional Bermudan options using variance-reduced Monte Carlo methods
Hepperger, Peter
- In:
The journal of computational finance
16
(
2013
)
3
,
pp. 99-126
Persistent link: https://www.econbiz.de/10010104412
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4
Pricing synthetic collateralized debt obligations based on exponential approximations to the payoff function
Iscoe, Ian
;
Jackson, Ken
;
Kreinin, Alex
;
Ma, Xiofang
- In:
The journal of computational finance
16
(
2013
)
3
,
pp. 127-126
Persistent link: https://www.econbiz.de/10010104413
Saved in:
5
RESEARCH PAPERS - An efficient pricing algorithm for swing options based on Fourier cosine expansions
Zhang, B
;
Oosterlee, C W
- In:
The journal of computational finance
16
(
2013
)
4
,
pp. 3-34
Persistent link: https://www.econbiz.de/10010152591
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6
Optimal execution under jump models for uncertain price impact
Moazeni, Somayeh
;
Coleman, Thomas F
;
Li, Yuying
- In:
The journal of computational finance
16
(
2013
)
4
,
pp. 35-78
Persistent link: https://www.econbiz.de/10010152592
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7
Tracking value-at-risk through derivative prices
Hill, Simon I
- In:
The journal of computational finance
16
(
2013
)
4
,
pp. 79-122
Persistent link: https://www.econbiz.de/10010152593
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8
An application to credit risk of a hybrid Monte Carlo-optimal quantization method
Callegaro, Giorgia
;
Sagna, Abass
- In:
The journal of computational finance
16
(
2013
)
4
,
pp. 123-122
Persistent link: https://www.econbiz.de/10010152594
Saved in:
9
RESEARCH PAPERS
In:
The journal of computational finance
15
(
2012
)
3
Persistent link: https://www.econbiz.de/10009968208
Saved in:
10
No-arbitrage SABR
Doust, Paul
- In:
The journal of computational finance
15
(
2012
)
3
,
pp. 3-33
Persistent link: https://www.econbiz.de/10009968209
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