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Weak approximation for a black-scholes type regime switching model

Kohatsu-Higa, Arturo; Tanaka, Akihiro - In: Applied mathematical finance 31 (2024) 1, pp. 1-36

Persistent link: https://www.econbiz.de/10015194417

15 years of Adjoint Algorithmic Differentiation (AAD) in finance

Capriotti, Luca; Giles, Mike - In: Quantitative finance 24 (2024) 9, pp. 1353-1379

Persistent link: https://www.econbiz.de/10015196929

Semi-parametric financial risk forecasting incorporating multiple realized measures

Peiris, Rangika; Wang, Chao; Gerlach, Richard; … - In: Quantitative finance 24 (2024) 12, pp. 1823-1837

Persistent link: https://www.econbiz.de/10015196974

Unbiased time-average estimators for markov chains

Kahalé, Nabil - In: Mathematics of operations research 49 (2024) 4, pp. 2136-2165

Persistent link: https://www.econbiz.de/10015197819

High-frequency realized stochastic volatility model

Watanabe, Toshiaki; Nakajima, Jouchi - In: Journal of empirical finance 79 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10015179722

Option pricing using the Black-Scholes methodology vs. using the Feynman-Kac theorem : comparative approach

Brătian, Vasile; Oprean Stan, Camelia - In: Application of novel research methods : the study of …, (pp. 175-192). 2024

Persistent link: https://www.econbiz.de/10015179733

GPU-Accelerated American option pricing : the case of the Longstaff-Schwartz Monte Carlo model

Li, Leon Xing; Chen, Ren-Raw; Fabozzi, Frank J. - In: The journal of derivatives : JOD 32 (2024) 2, pp. 72-101

Persistent link: https://www.econbiz.de/10015203208

Estimating Gross Output Production Functions

Trunschke, Markus; Judd, Kenneth L. - National Bureau of Economic Research - 2024

This paper develops a novel method to estimate production functions. Earlier papers rely on special assumptions about the functional form of production functions. Our approach efficiently estimates all parameters of any production functions with Hicks-neutral productivity without additional...

Persistent link: https://www.econbiz.de/10015145156

Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models

Huang, Zhenzhen; Kwok, Yue-Kuen; Xu, Ziqing - In: Insurance : mathematics and economics 115 (2024), pp. 132-150

Persistent link: https://www.econbiz.de/10015066737

Approximate Bayesian estimation of stochastic volatility in mean models using hidden Markov models : empirical evidence from emerging and developed markets

Abanto-Valle, Carlos A.; Rodriguez, Gabriel; Castro … - In: Computational economics 64 (2024) 3, pp. 1775-1801

Persistent link: https://www.econbiz.de/10015143955

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