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Computational Management Science : CMS
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ECONIS (ZBW)
RePEc
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OLC EcoSci
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1
Fourier-Cosine method for pricing and hedging insurance derivatives
Goudenège, Ludovic
;
Molent, Andrea
;
Wei, Xiao
; …
- In:
Theoretical economics letters
8
(
2018
)
3
,
pp. 282-291
Persistent link: https://www.econbiz.de/10011822600
Saved in:
2
Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
Goudenège, Ludovic
;
Molent, Andrea
;
Zanette, Antonino
- In:
Quantitative finance
20
(
2020
)
4
,
pp. 573-591
Persistent link: https://www.econbiz.de/10012194908
Saved in:
3
Computing credit valuation adjustment solving coupled PIDEs in the Bates model
Goudenège, Ludovic
;
Molent, Andrea
;
Zanette, Antonino
- In:
Computational management science
17
(
2020
)
2
,
pp. 163-178
Persistent link: https://www.econbiz.de/10012272056
Saved in:
4
Moving average options : machine learning and Gauss-Hermite quadrature for a double non-Markovian problem
Goudenège, Ludovic
;
Molent, Andrea
;
Zanette, Antonino
- In:
European journal of operational research : EJOR
303
(
2022
)
2
,
pp. 958-974
Persistent link: https://www.econbiz.de/10013364051
Saved in:
5
Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models
Goudenège, Ludovic
;
Molent, Andrea
;
Zanette, Antonio
- In:
Insurance / Mathematics & economics
70
(
2016
),
pp. 38-57
Persistent link: https://www.econbiz.de/10011597137
Saved in:
6
Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
Goudenege, Ludovic
;
Molent, Andrea
;
Zanette, Antonino
- In:
Computational Management Science : CMS
16
(
2019
)
1/2
,
pp. 217-248
Persistent link: https://www.econbiz.de/10011993464
Saved in:
7
Taxation of a GMWB variable annuity in a stochastic interest rate model
Molent, Andrea
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
3
,
pp. 1001-1035
Persistent link: https://www.econbiz.de/10012307397
Saved in:
8
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
Saved in:
9
Pricing American barrier options with discrete dividends by binomial trees
Gaudenzi, Marcellino
;
Zanette, Antonino
- In:
Decisions in economics and finance : DEF ; a journal of …
32
(
2009
)
2
,
pp. 129-148
Persistent link: https://www.econbiz.de/10003893186
Saved in:
10
Pricing cliquet options by tree methods
Gaudenzi, Marcellino
;
Zanette, Antonino
- In:
Computational Management Science : CMS
8
(
2011
)
1/2
,
pp. 125-135
Persistent link: https://www.econbiz.de/10008992059
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