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Managing the financial risks of electricity producers using options
Pineda, Salva; Conejo, Antonio J. - In: Energy economics 34 (2012) 6, pp. 2216-2227
Persistent link: https://www.econbiz.de/10009688763
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VaR-optimal risk management in regime-switching jump-diffusion models
Ramponi, Alessandro - In: Journal of mathematical finance 3 (2013) 1, pp. 103-109
Persistent link: https://www.econbiz.de/10010240819
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Efficient hedging for equity-linked life insurance contracts with stochastic interest rate
Melʹnikov, Aleksandr V.; Tong, Shuo - In: Risk and decision analysis 4 (2013) 3, pp. 207-223
Persistent link: https://www.econbiz.de/10010190153
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Importance sampling for option Greeks with discontinuous payoffs
Tong, Shaolong; Liu, Guangwu - In: INFORMS journal on computing : JOC 28 (2016) 2, pp. 223-235
Persistent link: https://www.econbiz.de/10011489268
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Stochastic jump intensity models
Lévy Dit Véhel, Pierre-Emmanuel; Lévy Véhel, Jacques - In: Risk and decision analysis 7 (2018) 1/2, pp. 63-75
Persistent link: https://www.econbiz.de/10011945650
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Computational finance
Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4
The field of computational finance is evolving ever faster. This book collects a number of novel contributions on the use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use of numerical methods for pricing, hedging, and risk...
Persistent link: https://www.econbiz.de/10012309311
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Quickest detection problems for Ornstein-Uhlenbeck processes
Glover, Kristoffer; Peskir, Goran - In: Mathematics of operations research 49 (2024) 2, pp. 1045-1064
Persistent link: https://www.econbiz.de/10014564929
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Callable Mortgage Bonds : Numerical Methods and Valuation Models for Pricing and Risk Analysis
Rom, Niels - 2025
Chapter 1. Introduction -- Chapter 2. Fixed Income -- Chapter 3. Mathematical Finance -- Chapter 4. Prepayment Model Estimation -- Chapter 5. Stochastic Interest Rate Model -- Chapter 6. Simulation -- Chapter 7. Finite Difference -- Chapter 8. Semi-Analytic MBS Pricing -- Chapter 9....
Persistent link: https://www.econbiz.de/10015401840
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Credit risk : modeling, valuation and hedging
Bielecki, Tomasz R.; Rutkowski, Marek - 2002
Persistent link: https://www.econbiz.de/10001621020