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Smile with the Gaussian term structure model
Ahdida, Abdelkoddousse; Alfonsi, Aurélien; Palidda, Ernesto - In: The journal of computational finance 21 (2017) 1, pp. 115-157
Persistent link: https://www.econbiz.de/10011691616
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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
Persistent link: https://www.econbiz.de/10015333096
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Stochastic local intensity loss models with interacting particle systems
Alfonsi, Aurélien; Labart, Celine; Lelong, Jérõme - In: Mathematical finance : an international journal of … 26 (2016) 2, pp. 366-394
Persistent link: https://www.econbiz.de/10011577160
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Pricing path-dependent Bermudan options using Wiener chaos expansion : an embarrassingly parallel approach
Lelong, Jérõme - In: The journal of computational finance 24 (2020) 2, pp. 1-31
Persistent link: https://www.econbiz.de/10012543612