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A nonparametric urn-based approach to interacting failing systems with an application to credit risk modeling
Cirillo, Pasquale; Hüsler, Jürg; Muliere, Pietro - In: International journal of theoretical and applied finance 13 (2010) 8, pp. 1223-1240
Persistent link: https://www.econbiz.de/10008906166
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A low-bias simulation scheme for the Sabr Stochastic Volatility model
Chen, Bin; Oosterlee, Cornelis W.; Weide, Hans van der - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10009624504
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Analytical approximation to constant maturity swap convexity corrections in a multi-factor SABR model
Chen, Bin; Oosterlee, Cornelis W.; Weeren, Sacha van - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1019-1046
Persistent link: https://www.econbiz.de/10008906224
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The Heston stochastic-local volatility model : efficient Monte Carlo simulation
Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-30
Persistent link: https://www.econbiz.de/10010498851
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The time-dependent FX-SABR model : efficient calibration based on effective parameters
Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-38
Persistent link: https://www.econbiz.de/10011403947
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On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization
Cong, F.; Oosterlee, Cornelis Willebrordus - In: International journal of theoretical and applied finance 20 (2017) 7, pp. 1-26
Persistent link: https://www.econbiz.de/10011763920
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Computing credit valuation adjustment for Bermudan options with wrong way risk
Feng, Qian; Oosterlee, Cornelis Willebrordus - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-31
Persistent link: https://www.econbiz.de/10011787454
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Collocating volatility : a competitive alternative to stochastic local volatility models
Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 23 (2020) 6, pp. 1-42
Persistent link: https://www.econbiz.de/10012496758
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Efficient computation of exposure profiles for counterparty credit risk
Graaf, Cornelis S. L. de; Feng, Qian; Kandhai, Drona; … - In: International journal of theoretical and applied finance 17 (2014) 4, pp. 1-23
Persistent link: https://www.econbiz.de/10010391508