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Importance sampling for option pricing with feedforward neural networks
Arandjelović, Aleksandar; Rheinländer, Thorsten; … - In: Finance and stochastics 29 (2025) 1, pp. 97-141
Persistent link: https://www.econbiz.de/10015394776
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Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
Kabanov, Jurij M.; Pergamenshchikov, Serguei - In: Finance and stochastics 24 (2020) 1, pp. 39-69
Persistent link: https://www.econbiz.de/10012253340
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Financial inverse problem and reconstruction of infinitely divisible distributions with Gaussian component
Kaji, S.; Kotani, Shinichi - In: Finance and stochastics 16 (2012) 1, pp. 45-62
Persistent link: https://www.econbiz.de/10009423257
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Additive logistic processes in option pricing
Carr, Peter; Torricelli, Lorenzo - In: Finance and stochastics 25 (2021) 4, pp. 689-724
Persistent link: https://www.econbiz.de/10012665200
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Extreme ATM skew in a local volatility model with discontinuity : joint density approach
Gairat, Alexander; Shcherbakov, Vadim - In: Finance and stochastics 28 (2024) 4, pp. 1179-1202
Persistent link: https://www.econbiz.de/10015130561
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A global consistency result for the two-dimensional Pareto distribution in the presence of misspecified inflation
Grandits, Peter; Temnov, Grigory - In: Finance and stochastics 14 (2010) 4, pp. 569-591
Persistent link: https://www.econbiz.de/10008823690
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Realised volatility and parametric estimation of Heston SDEs
Azencott, Robert; Ren, Peng; Timofeyev, Ilya - In: Finance and stochastics 24 (2020) 3, pp. 723-755
Persistent link: https://www.econbiz.de/10012518091
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Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
Marie, Nicolas - In: Finance and stochastics 27 (2023) 1, pp. 97-126
Persistent link: https://www.econbiz.de/10013489500
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Existence of Lévy term structure models
Filipović, Damir; Tappe, Stefan - In: Finance and stochastics 12 (2008) 1, pp. 83-115
Persistent link: https://www.econbiz.de/10003592553
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Efficient estimation of drift parameters in stochastic volatility models
Gloter, Arnaud - In: Finance and stochastics 11 (2007) 4, pp. 495-519
Persistent link: https://www.econbiz.de/10003645519