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Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads
Bianchi, Michele Leonardo; Fabozzi, Frank J. - In: Computational economics 46 (2015) 2, pp. 243-273
Persistent link: https://www.econbiz.de/10011478467
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Perturbative expansion technique for non-linear FBSDEs with interacting particle method
Fujii, Masaaki; Takahashi, Akihiko - In: Asia-Pacific financial markets 22 (2015) 3, pp. 283-304
Persistent link: https://www.econbiz.de/10011524810
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Asymptotic approximations for pricing derivatives under mean-reverting processes
Jordan, Richard; Tier, Charles - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-31
Persistent link: https://www.econbiz.de/10011525106
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Computational finance using c and c# : derivatives and valuation
Levy, George - 2016 - Second edition
Persistent link: https://www.econbiz.de/10011494632
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Extremum estimation and numerical derivatives
Hong, Han; Mahajan, Aprajit; Nekipelov, Denis N. - In: Journal of econometrics 188 (2015) 1, pp. 250-263
Persistent link: https://www.econbiz.de/10011500338
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An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures
Weng, Chengfeng; Wang, Xiaoqun; He, Zhijian - In: European journal of operational research : EJOR 254 (2016) 1, pp. 304-311
Persistent link: https://www.econbiz.de/10011503307
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Commodity derivative valuation under a factor model with time-varying market prices of risk
García Mirantes, Andrés; Población, Javier; Serna, … - In: Review of derivatives research 18 (2015) 1, pp. 75-93
Persistent link: https://www.econbiz.de/10011414114
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Discretely monitored first passage problems and barrier options : an eigenfunction expansion approach
Li, Lingfei; Linetsky, Vadim - In: Finance and stochastics 19 (2015) 4, pp. 941-977
Persistent link: https://www.econbiz.de/10011421097
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The distribution of the maximum of a variance gamma process and path-dependent option pricing
Ivanov, Roman V. - In: Finance and stochastics 19 (2015) 4, pp. 979-993
Persistent link: https://www.econbiz.de/10011421382
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Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing
Vitiello, Luiz; Poon, Ser-Huang - In: Review of derivatives research 17 (2014) 2, pp. 241-259
Persistent link: https://www.econbiz.de/10010529622