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15 years of Adjoint Algorithmic Differentiation (AAD) in finance

Capriotti, Luca; Giles, Mike - In: Quantitative finance 24 (2024) 9, pp. 1353-1379

Persistent link: https://www.econbiz.de/10015196929

Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method

Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: Applied mathematical finance 23 (2016) 3/4, pp. 175-196

Persistent link: https://www.econbiz.de/10011704227

A cost of carry-based framework for the Bitcoin futures price modeling

Lian, Yu-Min; Cheng, Chi-Hung; Lin, Shih-Hsun; Lin, … - In: Journal of mathematical finance 9 (2019) 1, pp. 42-53

Persistent link: https://www.econbiz.de/10012116666

Accelerating pathwise Greeks in the LIBOR market model

Joshi, Mark S.; Wiguna, Alexander - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-33

Persistent link: https://www.econbiz.de/10009624523

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

Monte Carlo simulation for trading under a Lévy-driven mean-reverting framework

Leung, Tim; Lu, Kevin W. - In: Applied mathematical finance 30 (2023) 4, pp. 207-230

Persistent link: https://www.econbiz.de/10015051244

Pricing of American timer options

Ha, Mijin; Park, Sangmin; Yoon, Ji-Hun; Kim, Donghyun - In: The North American journal of economics and finance : a … 78 (2025), pp. 1-17

Persistent link: https://www.econbiz.de/10015434420

Model based Monte Carlo pricing of energy and temperature Quanto options

Caporin, Massimiliano; Preś, Juliusz; Torro, Hipolit - In: Energy economics 34 (2012) 5, pp. 1700-1712

Persistent link: https://www.econbiz.de/10009687956

Nearly exact option price simulation using characteristic functions

Bernard, Carole; Cui, Zhenyu; McLeish, Don L. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-29

Persistent link: https://www.econbiz.de/10009685897

Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing

Kim, Young Shin - In: Journal of risk and financial management : JRFM 14 (2021) 2/77, pp. 1-18

This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We present the Monte-Carlo method for European and American option pricing with the sample path generation and calibrate model parameters to the American style S&P 100 index options...

Persistent link: https://www.econbiz.de/10012484130