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Pricing corporate bonds in an arbitraty jump-diffusion model based on an improved Brownian-bridge algorithm
Ruf, Johannes; Scherer, Matthias - In: The journal of computational finance 14 (2010/11) 3, pp. 127-145
Persistent link: https://www.econbiz.de/10008989928
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The density of distributions from the Bondesson class
Bernhart, German; Mai, Jan-Frederik; Schenk, Steffen; … - In: The journal of computational finance 18 (2014/15) 3, pp. 99-128
Persistent link: https://www.econbiz.de/10011298895
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Efficiently pricing double barrier derivatives in stochastic volatility models
Escobar, Marcos; Hieber, Peter; Scherer, Matthias - In: Review of derivatives research 17 (2014) 2, pp. 191-216
Persistent link: https://www.econbiz.de/10010529630
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A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependenceh
Mai, Jan-Frederik; Blagoeva, Aleksandra; Scherer, Matthias - In: Frontiers of mathematical finance : FMF 2 (2023) 4, pp. 522-553
Persistent link: https://www.econbiz.de/10015374119