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Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
Dang, Duy Minh; Jackson, Kenneth R.; Mohammadi, Mohammadreza - In: Applied mathematical finance 22 (2015) 5/6, pp. 522-552
Persistent link: https://www.econbiz.de/10011490623
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A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
Dang, Duy Minh; Jackson, Kenneth R.; Sues, Scott - In: Applied mathematical finance 24 (2017) 3/4, pp. 175-215
Persistent link: https://www.econbiz.de/10011815225
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Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
Hikspoors, Samuel; Jaimungal, Sebastian - In: Applied mathematical finance 15 (2008) 5, pp. 449-478
Persistent link: https://www.econbiz.de/10008715283
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Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
Hikspoors, Samuel; Jaimungal, Sebastian - In: Applied mathematical finance 15 (2008) 5, pp. 449-478
Persistent link: https://www.econbiz.de/10008716622
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Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
Hikspoors, Samuel; Jaimungal, Sebastian - In: Applied mathematical finance 15 (2008) 5, pp. 449-478
Persistent link: https://www.econbiz.de/10008155115
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Deep Q-learning for Nash equilibria : Nash-DQN
Casgrain, Philippe; Ning, Brian; Jaimungal, Sebastian - In: Applied mathematical finance 29 (2022) 1, pp. 62-78
Persistent link: https://www.econbiz.de/10013554784
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Modelling asset prices for algorithmic and high-frequency trading
Cartea, Álvaro; Jaimungal, Sebastian - In: Applied mathematical finance 20 (2013) 5/6, pp. 512-547
Persistent link: https://www.econbiz.de/10010235563
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Asymptotic pricing of commodity derivatives using stochastic volatility spot models
Hikspoors, Samuel; Jaimungal, Sebastian - In: Applied mathematical finance 15 (2008) 5/6, pp. 449-477
Persistent link: https://www.econbiz.de/10003815252
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Enhancing trading strategies with order book signals
Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian - In: Applied mathematical finance 25 (2018) 1/2, pp. 1-35
Persistent link: https://www.econbiz.de/10011959112
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Mean-field game strategies for optimal execution
Huang, Xuancheng; Jaimungal, Sebastian; Nourian, Mojtaba - In: Applied mathematical finance 26 (2019) 2, pp. 153-185
Persistent link: https://www.econbiz.de/10012210268