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Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization
Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 635-667
Persistent link: https://www.econbiz.de/10009298518
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Numerical stability of a hybrid method for pricing options
Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; … - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-46
Persistent link: https://www.econbiz.de/10012153319
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Heat kernel models for asset pricing
Macrina, Andrea - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-34
Persistent link: https://www.econbiz.de/10010498834
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Interbank credit risk modeling with self-exciting jump processes
Leunga, Charles Guy Njike; Hainaut, Donatien - In: International journal of theoretical and applied finance 23 (2020) 6, pp. 1-32
Persistent link: https://www.econbiz.de/10012496770
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Adaptive and monotone spline estimation of the cross-sectional term structure
Ramponi, Alessandro - In: International journal of theoretical and applied finance 6 (2003) 2, pp. 195-212
Persistent link: https://www.econbiz.de/10001769129
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Adaptive finite element methods for local volatility European option pricing
Ern, Alexandre; Villeneuve, Stéphane; Zanette, Antonino - In: International journal of theoretical and applied finance 7 (2004) 6, pp. 659-684
Persistent link: https://www.econbiz.de/10002200623
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Bayesian inference, prior information on volatility, and option pricing : a maximum entropy approach
Venagas-Martínez, Francisco - In: International journal of theoretical and applied finance 8 (2005) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10002625103
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Special issue on computational methods in finance
Grasselli, Matheus (contributor) - 2011
Persistent link: https://www.econbiz.de/10009154932
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Automated option pricing : numerical methods
Henry-Labordère, Pierre - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-27
Persistent link: https://www.econbiz.de/10010243611
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Fast and accurate pricing and hedging of long-dated CMS spread options
Joshi, Mark S.; Chao Yang - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 839-865
Persistent link: https://www.econbiz.de/10008905112