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Sensitivity estimates for portfolio credit derivatives using Monte Carlo
Chen, Zhiyong; Glasserman, Paul - In: Finance and stochastics 12 (2008) 4, pp. 507-540
Persistent link: https://www.econbiz.de/10003899268
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Gamma expansion of the Heston stochastic volatility model
Glasserman, Paul; Kim, Kyoung-kuk - In: Finance and stochastics 15 (2011) 2, pp. 267-296
Persistent link: https://www.econbiz.de/10009159098
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Additive and multiplicative duals for American option pricing
Chen, Nan; Glasserman, Paul - In: Finance and stochastics 11 (2007) 2, pp. 153-179
Persistent link: https://www.econbiz.de/10003439750
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Numerical solution of jump-diffusion LIBOR market models
Glasserman, Paul; Merener, Nicolas - In: Finance and stochastics 7 (2003) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10001724635
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Arbitrage-free discretization of lognormal forward Libor and swap rate models
Glasserman, Paul; Zhao, Xiaoliang - In: Finance and stochastics 4 (2000) 1, pp. 35-68
Persistent link: https://www.econbiz.de/10001486621
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Pricing vulnerable claims in a Lévy-driven model
Capponi, Agostino; Pagliarani, Stefano; Vargiolu, Tiziano - In: Finance and stochastics 18 (2014) 4, pp. 755-789
Persistent link: https://www.econbiz.de/10010413669
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Dynamic credit investment in partially observed markets
Capponi, Agostino; Figueroa-López, José E.; Pascucci, … - In: Finance and stochastics 19 (2015) 4, pp. 891-939
Persistent link: https://www.econbiz.de/10011421091
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Bilateral credit valuation adjustment for large credit derivatives portfolios
Bo, Lijun; Capponi, Agostino - In: Finance and stochastics 18 (2014) 2, pp. 431-482
Persistent link: https://www.econbiz.de/10010340674
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Connecting discrete and continuous path-dependent options
Broadie, Mark; Glasserman, Paul; Kou, S. G. - In: Finance and stochastics 3 (1999) 1, pp. 55-82
Persistent link: https://www.econbiz.de/10001367460
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Numerical solution of jump-diffusion LIBOR market models
Glasserman, Paul; Merener, Nicolas - In: Finance and stochastics 7 (2003) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10008215838