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Stochastic simulation framework for the limit order book using liquidity-motivated agents
Panayi, Efstathios; Peters, Gareth W. - In: International journal of financial engineering 2 (2015) 2, pp. 1-52
Persistent link: https://www.econbiz.de/10011333470
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Heavy-tailed features and dependence in limit order book volume profiles in futures markets
Richards, Kylie-Anne; Peters, Gareth W.; Dunsmuir, … - In: International journal of financial engineering 2 (2015) 3, pp. 1-56
Persistent link: https://www.econbiz.de/10011403201
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Fast numerical method for pricing of variable annuities with Guaranteed minimum withdrawal benefit under optimal withdrawal strategy
Luo, Xiaolin; Shevchenko, Pavel V. - In: International journal of financial engineering 2 (2015) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10011403137