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Modular Pricing of Options : An Application of Fourier Analysis

Zhu, Jianwei - 2000

This book provides a comprehensive, up-to-date treatment of the application of Fourier analyses to pricing standard and exotic options, and discusses three different factors: stochastic volatility, stochastic interest rate and random jump. The modeling of volatility and interest rate falls into...

Persistent link: https://www.econbiz.de/10013518580

Sharp L¹-approximation of the log-Heston stochastic differential equation by Euler-type methods

Mickel, Annalena; Neuenkirch, Andreas - In: The journal of computational finance 26 (2023) 4, pp. 67-100

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Control variate method for deep BSDE solver using weak approximation

Tsuchida, Yoshifumi - In: Asia Pacific financial markets 30 (2023) 2, pp. 273-296

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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

Solution method and parameter estimation of uncertain partial differential equation with application to China's population

Yang, Lu; Liu, Yang - In: Fuzzy optimization and decision making : a journal of … 23 (2024) 1, pp. 155-177

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Equilibrium pricing in incomplete markets under translation invariant preferences

Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; … - In: Mathematics of operations research 41 (2016) 1, pp. 174-195

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On robustness of the black-scholes partial differential equation model

Mastinsek, Miklavz - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-11

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A functional Itô's calculus approach to convex risk measures with jump diffusion

Siu, Tak Kuen - In: European journal of operational research : EJOR 250 (2016) 3, pp. 874-883

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Max-min optimization problem for variable annuities pricing

Blanchet-Scalliet, Christophette; Chevalier, Etienne; … - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-35

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Nonlinear valuation under credit, funding, and margins : existence, uniqueness, invariance, and disentanglement

Brigo, Damiano; Francischello, Marco; Pallavicini, Andrea - In: European journal of operational research : EJOR 274 (2019) 2, pp. 788-805

Persistent link: https://www.econbiz.de/10011990226

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