Narrow search
Showing 1 - 10 of 70
Cover Image
Monte Carlo simulation of volatility clustering in market model with herding
Stauffer, Dietrich (contributor) - In: International journal of theoretical and applied finance 2 (1999) 1, pp. 83-94
Persistent link: https://www.econbiz.de/10001372092
Cover Image
On the profit and loss distribution of dynamic hedging strategies
Esipov, Sergej; Vajsburd, Igor - In: International journal of theoretical and applied finance 2 (1999) 2, pp. 131-152
Persistent link: https://www.econbiz.de/10001394239
Cover Image
A risk-neutral stochastic volatility model
Zhu, Yingzi - In: International journal of theoretical and applied finance 1 (1998) 2, pp. 289-310
Persistent link: https://www.econbiz.de/10001240151
Cover Image
Impulse response analysis in a misspecified DSGE model : a comparison of full and limited information techniques
Giesen, Sebastian; Scheufele, Rolf - In: Applied economics letters 23 (2016) 1/3, pp. 162-166
Persistent link: https://www.econbiz.de/10011414505
Cover Image
Nearly exact option price simulation using characteristic functions
Bernard, Carole; Cui, Zhenyu; McLeish, Don L. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10009685897
Cover Image
A central limit theorem for Latin hypercube sampling with dependence and application to exotic basket option pricing
Aistleitner, Christoph; Hofer, Markus; Tichy, Robert F. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-20
Persistent link: https://www.econbiz.de/10009685903
Cover Image
Quasi-Monte Carlo application in CGE systematic sensitivity analysis
Chatzivasileiadis, Theodoros - In: Applied economics letters 25 (2018) 21, pp. 1521-1526
Persistent link: https://www.econbiz.de/10012138045
Cover Image
Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 22 (2019) 3, pp. 1-49
Persistent link: https://www.econbiz.de/10012019776
Cover Image
The Heston stochastic-local volatility model : efficient Monte Carlo simulation
Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-30
Persistent link: https://www.econbiz.de/10010498851
Cover Image
Estimating residual hedging risk with least-squares Monte Carlo
Ankirchner, Stefan; Pigorsch, Christian; Schweizer, Nikolaus - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10010498866