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Hok, Julien; Tse, Alex S. L. - In: Quantitative finance 24 (2024) 8, pp. 1037-1055

Persistent link: https://www.econbiz.de/10015196869

Expansion formulas for European quanto options in a local volatility FX-LIBOR model

Hok, Julien; Ngare, Philip; Papapantoleon, Antonis - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-43

Persistent link: https://www.econbiz.de/10011854564

Calibration of local volatility model with stochastic interestrates by efficient numerical PDE methods

Hok, Julien; Tan, Shih-Hau - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 609-637

Persistent link: https://www.econbiz.de/10012127281

The importance of being scrambled : supercharged quasi-Monte Carlo

Kucherenko, Sergei; Hok, Julien - In: Journal of risk : JOR 26 (2023) 1, pp. 27-46

Persistent link: https://www.econbiz.de/10014487277

Speeding up the Euler scheme for killed diffusions

Çetin, Umut; Hok, Julien - In: Finance and stochastics 28 (2024) 3, pp. 663-707

Persistent link: https://www.econbiz.de/10015130359

Advanced Monte Carlo methods for barrier and related exotic options

Gobet, Emmanuel - 2009

Persistent link: https://www.econbiz.de/10003827024

Discrete time hedging errors for options with irregular payoffs

Gobet, Emmanuel; Temam, Emmanuel - In: Finance and stochastics 5 (2001) 3, pp. 357-367

Persistent link: https://www.econbiz.de/10001599284

Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options

Bernis, Guillaume; Gobet, Emmanuel; Kohatsu-Higa, Arturo - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 99-113

Persistent link: https://www.econbiz.de/10001765655

Nonparametric estimation of scalar diffusions based on low frequency data is ill-posed

Gobet, Emmanuel; Hoffmann, Marc; Reiß, Markus - 2002

Persistent link: https://www.econbiz.de/10001697748

Analytical Formulas for Local Volatility Model with Stochastic Rates

Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed - 2009

This paper presents new approximation formulae of European options in a local volatility model with stochastic interest rates. This is a companion paper to our work on perturbation methods for local volatility models http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1275872 for the case of...

Persistent link: https://www.econbiz.de/10014202471