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A reduced basis method for parabolic partial differential equations with parameter functions and application to option pricing
Mayerhofer, Antonia Christine; Urban, Karsten - In: The journal of computational finance 20 (2016/2017) 4, pp. 71-106
Persistent link: https://www.econbiz.de/10011691633
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Hedging under generalized good-deal bounds and model uncertainty
Becherer, Dirk; Kentia Tonleu, Klébert - In: Mathematical methods of operations research 86 (2017) 1, pp. 171-214
Persistent link: https://www.econbiz.de/10011714399
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Theories on the relationship between price process and stochastic volatility matrix with compensated poisson jump using fourier transforms
Andam, Perpetual Saah; Ackora-Prah, Joseph; … - In: Journal of mathematical finance 7 (2017) 3, pp. 633-656
Persistent link: https://www.econbiz.de/10011752419
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Tug-of-war, market manipulation, and option pricing
Nyström, Kaj; Parviainen, Mikko - In: Mathematical finance : an international journal of … 27 (2017) 2, pp. 279-312
Persistent link: https://www.econbiz.de/10011752483
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A non-stationary model of dividend distribution in a stochastic interest-rate setting
Barth, Andrea; Moreno-Bromberg, Santiago; Reichmann, Oleg - In: Computational economics 47 (2016) 3, pp. 447-472
Persistent link: https://www.econbiz.de/10011712413
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Indifference fee rate for variable annuities
Chevalier, Etienne; Lim, Thomas; Romero, Ricardo Romo - In: Applied mathematical finance 23 (2016) 3/4, pp. 278-308
Persistent link: https://www.econbiz.de/10011704242
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A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison)
Rabinovitz, Yedidya - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-22
Persistent link: https://www.econbiz.de/10011778269
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Detection of mispricing in the Black-Scholes PDE using the derivative-free nonlinear Kalman Filter
Rigatos, G.; Zervos, N. - In: Computational economics 50 (2017) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10011762181
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An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach
Takahashi, Akihiko; Yamada, Toshihiro - In: Asia-Pacific financial markets 23 (2016) 4, pp. 337-373
Persistent link: https://www.econbiz.de/10011619975
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Modeling and pricing precipitation derivatives under weather forecasts
Hess, Markus - In: International journal of theoretical and applied finance 19 (2016) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10011568818