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Option pricing theory
17
Optionspreistheorie
17
Stochastic process
17
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17
Volatility
17
Volatilität
17
stochastic volatility
16
Derivat
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Le Floc'h, Fabien
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The journal of computational finance
International journal of theoretical and applied finance
46
Working Paper
41
Tinbergen Institute Discussion Papers
40
CREATES Research Papers
39
International Journal of Theoretical and Applied Finance (IJTAF)
38
Quantitative Finance
34
Journal of econometrics
33
Quantitative finance
33
Discussion paper / Tinbergen Institute
31
MPRA Paper
31
Physica A: Statistical Mechanics and its Applications
30
Tinbergen Institute Discussion Paper
30
Journal of economic dynamics & control
26
Finance research letters
24
Energy economics
23
Finance and Stochastics
23
Applied mathematical finance
22
Working paper
22
Applied Mathematical Finance
20
Economics Series Working Papers / Department of Economics, Oxford University
20
CAMA working paper series
18
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
18
Research Paper Series / Finance Discipline Group, Business School
18
The journal of futures markets
18
ECB Working Paper
17
Economics Papers / Economics Group, Nuffield College, University of Oxford
17
CEPR Discussion Papers
16
Journal of banking & finance
16
Review of Derivatives Research
16
Economics letters
15
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
15
CIRANO Working Papers
14
Economic modelling
14
SFB 649 Discussion Papers
14
Computational economics
13
Insurance / Mathematics & economics
13
Journal of Risk and Financial Management
13
Journal of risk and financial management : JRFM
13
Review of derivatives research
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ECONIS (ZBW)
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1
Accelerated trinomial trees applied to American basket options and American options under the Bates model
O'Sullivan, Conall
;
O'Sullivan, Stephen
- In:
The journal of computational finance
19
(
2016
)
4
,
pp. 29-72
Persistent link: https://www.econbiz.de/10011603176
Saved in:
2
Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
Reisinger, Christoph
;
Wissmann, Rasmus
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 95-127
Persistent link: https://www.econbiz.de/10011441267
Saved in:
3
Second-order Monte Carlo sensitivities
Daluiso, Roberto
- In:
The journal of computational finance
23
(
2020
)
4
,
pp. 61-91
Persistent link: https://www.econbiz.de/10012212482
Saved in:
4
Gradient boosting for quantitative finance
Davis, Jesse
;
Devos, Laurens
;
Reyners, Sofie
;
Schoutens, Wim
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 1-40
Persistent link: https://www.econbiz.de/10012544161
Saved in:
5
A novel Fourier transform B-spline method for option pricing
Haslip, Gareth G.
;
Kaishev, Vladimir K.
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 41-74
Persistent link: https://www.econbiz.de/10011480709
Saved in:
6
Multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model
Ng, Leslie
- In:
The journal of computational finance
18
(
2014/15
)
3
,
pp. 59-98
Persistent link: https://www.econbiz.de/10011298899
Saved in:
7
An adaptive Filon quadrature for stochastic volatility models
Le Floc'h, Fabien
- In:
The journal of computational finance
22
(
2018
)
3
,
pp. 65-88
Persistent link: https://www.econbiz.de/10011988193
Saved in:
8
The forward smile in local-stochastic volatility models
Mazzon, Andrea
;
Pascucci, Andrea
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011689675
Saved in:
9
Finite difference techniques for arbitrage-free SABR
Le Floc'h, Fabien
;
Kennedy, Gary
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 51-79
Persistent link: https://www.econbiz.de/10011689679
Saved in:
10
A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston-Cox-Ingersoll-Ross model
Cozma, Andrei
;
Reisinger, Christoph
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 109-149
Persistent link: https://www.econbiz.de/10011689688
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