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A hybrid tree/finite-difference approach for Heston-Hull-White-type models
Briani, Maya; Caramellino, Lucia; Zanette, Antonino - In: The journal of computational finance 21 (2017/2018) 3, pp. 1-45
Persistent link: https://www.econbiz.de/10011848334
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Minimax efficient finite-difference stochastic gradient estimators using black-box function evaluations
Lam, Henry; Li, Haidong; Zhang, Xuhui - In: Operations research letters 49 (2021) 1, pp. 40-47
Persistent link: https://www.econbiz.de/10012485995
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Enhanced balancing of bias-variance tradeoff in stochastic estimation : a minimax perspective
Lam, Henry; Zhang, Xinyu; Zhang, Xuhui - In: Operations research 71 (2023) 6, pp. 2352-2373
Persistent link: https://www.econbiz.de/10014445044
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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