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Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes

Zhao, Yongxia; Chen, Ping; Yang, Hailiang - In: Insurance / Mathematics & economics 74 (2017), pp. 135-146

Persistent link: https://www.econbiz.de/10011712427

First- and second-order Greeks in the Heston model

Chan, Jiun Hong; Joshi, Mark S.; Zhu, Dan - In: Journal of risk 17 (2014/2015) 4, pp. 19-69

Persistent link: https://www.econbiz.de/10013262933

Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs

Joshi, Mark S.; Zhu, Dan - In: Applied mathematical finance 23 (2016) 1/2, pp. 22-56

Persistent link: https://www.econbiz.de/10011546983

An exact method for the sensitivity analysis of systems simulated by rejection techniques

Joshi, Mark S.; Zhu, Dan - In: European journal of operational research : EJOR 254 (2016) 3, pp. 875-888

Persistent link: https://www.econbiz.de/10011521858

An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model

Joshi, Mark S.; Zhu, Dan - In: The journal of computational finance 20 (2016) 1, pp. 113-137

Persistent link: https://www.econbiz.de/10011639618

First and Second Order Greeks in the Heston Model

Chan, Jiun Hong - 2014

In this paper, we present an efficient approach to compute the first and the second order price sensitivities in the Heston model using the algorithmic differentiation approach. Issues related to the applicability of the pathwise method are discussed in this paper as most existing numerical...

Persistent link: https://www.econbiz.de/10013068956

Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method

Kang, Boda; Shen, Yang; Zhu, Dan; Ziveyi, Jonathan - In: Insurance / Mathematics & economics 105 (2022), pp. 96-127

Persistent link: https://www.econbiz.de/10013348971

Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models

Ai, Meiqiao; Zhang, Zhimin; Zhu, Dan - In: Scandinavian actuarial journal 2023 (2023) 4, pp. 330-358

Persistent link: https://www.econbiz.de/10014336388

Generic improvements to least squares monte carlo methods with applications to optimal stopping problems

Wei, Wei; Zhu, Dan - In: European journal of operational research : EJOR 298 (2022) 3, pp. 1132-1144

Persistent link: https://www.econbiz.de/10013206929

Generalized expected discounted penalty function at general drawdown for Lévy risk processes

Wang, Wenyuan; Chen, Ping; Li, Shuanming - In: Insurance / Mathematics & economics 91 (2020), pp. 12-25

Persistent link: https://www.econbiz.de/10012241972