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Toward real-time pricing of complex financial derivates
Ninomiya, S. - In: Applied mathematical finance 3 (1996) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10001209611
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Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs
Joshi, Mark S.; Zhu, Dan - In: Applied mathematical finance 23 (2016) 1/2, pp. 22-56
Persistent link: https://www.econbiz.de/10011546983
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Liquidity costs : a new numerical methodology and an empirical study
Michel, Christophe; Reutenauer, Victor; Talay, Denis; … - In: Applied mathematical finance 23 (2016) 1/2, pp. 57-79
Persistent link: https://www.econbiz.de/10011546989
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Modelling credit risk in the jump threshold framework
Chiu, Chun-Yuan; Kercheval, Alec - In: Applied mathematical finance 25 (2018) 5/6, pp. 411-433
Persistent link: https://www.econbiz.de/10012129172
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Hybrid Lévy models : design and computational aspects
Eberlein, Ernst; Rudmann, Marcus - In: Applied mathematical finance 25 (2018) 5/6, pp. 533-556
Persistent link: https://www.econbiz.de/10012129180
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Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method
Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: Applied mathematical finance 23 (2016) 3/4, pp. 175-196
Persistent link: https://www.econbiz.de/10011704227
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Approximate indifference pricing in exponential Lévy models
Ménassé, Clément; Tankov, Peter - In: Applied mathematical finance 23 (2016) 3/4, pp. 197-235
Persistent link: https://www.econbiz.de/10011704228
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Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
Zheng, Wendong; Zeng, Pingping - In: Applied mathematical finance 23 (2016) 5/6, pp. 344-373
Persistent link: https://www.econbiz.de/10011704259
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Eurodollar futures pricing in log-normal interest rate models in discrete time
Pirjol, Dan - In: Applied mathematical finance 23 (2016) 5/6, pp. 445-464
Persistent link: https://www.econbiz.de/10011704268
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Consistent modelling of VIX and equity derivatives using a 3/2 plus jumps model
Baldeaux, Jan; Badran, Alexander - In: Applied mathematical finance 21 (2014) 3/4, pp. 299-312
Persistent link: https://www.econbiz.de/10010499689