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Vibrato and automatic differentiation for high-order derivatives and sensitivities of financial options
Pagès, Gilles; Pironneau, Olivier; Sall, Guillaume - In: The journal of computational finance 22 (2018) 2, pp. 1-34
Persistent link: https://www.econbiz.de/10011976655
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Valuation of barrier options using sequential Monte Carlo
Shevchenko, Pavel V.; Del Moral, Pierre - In: The journal of computational finance 20 (2016/2017) 4, pp. 107-135
Persistent link: https://www.econbiz.de/10011691638
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Wiener chaos expansion and numerical solutions of the Heath-Jarrow-Morton interest rate model
Kalpinelli, Evangelia A.; Frangos, Nikolaos E.; … - In: The journal of computational finance 19 (2016) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10011603168
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A hybrid tree/finite-difference approach for Heston-Hull-White-type models
Briani, Maya; Caramellino, Lucia; Zanette, Antonino - In: The journal of computational finance 21 (2017/2018) 3, pp. 1-45
Persistent link: https://www.econbiz.de/10011848334
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Monte Carlo payoff smoothing for pricing autocallable instruments
Koster, Frank; Rehmet, Achim - In: The journal of computational finance 21 (2017/2018) 4, pp. 59-77
Persistent link: https://www.econbiz.de/10011848407
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A pairwise local correlation model
Koster, Frank; Oeltz, Daniel - In: The journal of computational finance 22 (2018/2019) 4, pp. 1-24
Persistent link: https://www.econbiz.de/10012042217
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Calculate tail quantiles of compound distributions
Abdymomunov, Azamat; Curti, Filippo; Kane, Hayden - In: The journal of computational finance 22 (2018/2019) 5, pp. 41-70
Persistent link: https://www.econbiz.de/10012042235
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Monte Carlo pathwise sensitivities for barrier options
Gerstner, Thomas; Harrach, Bastian von; Roth, Daniel - In: The journal of computational finance 23 (2020) 5, pp. 75-99
Persistent link: https://www.econbiz.de/10012295868
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Automatic differentiation for diffusion operator integral variance reduction
Auster, Johan - In: The journal of computational finance 25 (2022) 4, pp. 27-53
Persistent link: https://www.econbiz.de/10014546286