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A stochastic volatility model for the valuation of temperature derivatives

Alfonsi, Aurélien; Vadillo, Nerea - In: IMA journal of management mathematics 35 (2024) 4, pp. 737-785

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Universal arbitrage-free estimation of state price density

Hu, Qi; Newton, David P. - In: The journal of derivatives : JOD 28 (2021) 3, pp. 35-59

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Arbitrage-Free Rate Interpolation Scheme for Libor Market Model with Smooth Volatility Term Structure

Werpachowski, Roman - 2010

The Libor Market Model describes the evolution of a discrete subset of all interest rates quoted in the market. Generation of the complete yield curve from a simulated set of rates (the so-called "Libor rate interpolation") is one of the basic challenges which are faced by a practical user of...

Persistent link: https://www.econbiz.de/10013134893

Estimating sensitivities of temperature-based weather derivatives

Yuan, Wei; Göncu, Ahmet; Ökten, Giray - In: Applied economics 47 (2015) 19/21, pp. 1942-1955

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A new stochastic derivative estimator for discontinuous payoff functions with application to financial derivatives

Wang, Yongqiang; Fu, Michael; Marcus, Steven I. - In: Operations research 60 (2012) 2, pp. 447-460

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Perturbative expansion technique for non-linear FBSDEs with interacting particle method

Fujii, Masaaki; Takahashi, Akihiko - In: Asia-Pacific financial markets 22 (2015) 3, pp. 283-304

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Asymptotic approximations for pricing derivatives under mean-reverting processes

Jordan, Richard; Tier, Charles - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-31

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Extremum estimation and numerical derivatives

Hong, Han; Mahajan, Aprajit; Nekipelov, Denis N. - In: Journal of econometrics 188 (2015) 1, pp. 250-263

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VIX derivatives valuation and estimation based on closed-form series expansions

Zhao, Zhe; Cui, Zhenyu; Florescu, Ionuţ - In: International journal of financial engineering 5 (2018) 2, pp. 1-18

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A multivariate stochastic unit root model with an application to derivative pricing

Lieberman, Offer; Phillips, Peter C. B. - In: Journal of econometrics 196 (2017) 1, pp. 99-110

Persistent link: https://www.econbiz.de/10011743783