Search Results - subject_exact:"Greeks"

Narrow search

Human capital transfers and sub-national development : Armenian and Greek legacy in post-expulsion Turkey

Arbatli, Cemal Eren; Gokmen, Gunes - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014259282

A general machine learning framework of real-time evaluation for financial derivatives portfolios

Zhang, Liangliang; Tian, Ruyan; Yang, Qing; Ye, Tingting - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015440643

Pricing convertible bonds with the penalty TF model using finite element method

Kazbek, Rakhymzhan; Erlangga, Yogi Ahmad; Amanbek, Yerlan; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015590205

Numerical solution of passport option pricing problem with polynomial neural networks

Badireddi, Satyadev; Bansal, Saurabh; Natesan, Srinivasan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591428

Backward Hedging for American options with transaction costs

Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015593597

An efficient and robust computational approach to passport option pricing PDEs

Bansal, Saurabh; Natesan, Srinivasan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015594548

Migrating from Greece to Germany after 2010 : a qualitative approach

Tsertekidis, Georgios - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013204390

Fast and stable second-order credit sensitivities of credit valuation adjustment

Daluiso, Roberto - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015548827

Pricing, risk and volatility in subordinated market models

Aguilar, Jean-Philippe; Kirkby, Justin Lars; Korbel, Jan - 2020

We consider several market models, where time is subordinated to a stochastic process. These models are based on various time changes in the Lévy processes driving asset returns, or on fractional extensions of the diffusion equation; they were introduced to capture complex phenomena such as...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012390928

Pricing, risk and volatility in subordinated market models

Aguilar, Jean-Philippe; Kirkby, Justin Lars; Korbel, Jan - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013200657

Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing

Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014232621

Pricing American options with jumps in asset and volatility

Taruvinga, Blessing; Kang, Boda; Nikitopoulos, … - 2019 - Updated January 2019

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013255767

Venturing into uncharted territory : an extensible implied volatility surface model

François, Pascal; Galarneau-Vincent, Rémi; Gauthier, … - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013465829

Sensitivity-based Conditional Value at Risk (SCVaR) : an efficient measurement of credit exposure for options

Shi, Ruoshi; Zhao, Yanlong; Bao, Ying; Peng, Cheng - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013539080

Option pricing with orthogonal polynomial expansions

Ackerer, Damien; Filipović, Damir - 2017

We derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, Stein-Stein, and Hull-White models, for which we provide numerical case studies. We find that our polynomial option price series expansion performs...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011870651

Analysis of Markov chain approximation for Asian options and occupation-time derivatives : Greeks and convergence rates

Yang, Wensheng; Ma, Jingtang; Cui, Zhenyu - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012548535

Pricing Asian options with correlators

Lavagnini, Silvia - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012887425

Binomial tree method for option pricing : discrete Carr and Madan formula approach

Muroi, Yoshifumi; Saeki, Ryota; Suda, Shintaro - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012662360

KrigHedge : Gaussian process surrogates for Delta hedging

Ludkovski, Mike; Saporito, Yuri - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013411700

Minorities, human capital and long-rund development : persistence of Armenian and Greek influence in Turkey

Arbatli, Cemal Eren; Gokmen, Gunes - 2016

We study the long-term economic legacy of highly-skilled minorities a century after their wholesale expulsion. Using mass expulsions of Armenian and Greek communities of the Ottoman Empire in the early 20th century as a unique natural experiment of history, we show that districts with greater...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011581278

Minorities, Human Capital and Long-Run Development: Persistence of Armenian and Greek Influence in Turkey

Arbatli, Cemal Eren; Gokmen, Gunes - 2016

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011584967

A note on options and bubbles under the CEV model : implications for pricing and hedging

Dias, José Carlos; Nunes, Joaõ Pedro Vidal; Cruz, Aricson - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012303226

Second-order Monte Carlo sensitivities

Daluiso, Roberto - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012212482

Exchange options under clustered jump dynamics

Ma, Yong; Pan, Dongtao; Wang, Tianyang - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012262652

Hedging crash risk in optimal portfolio selection

Zhu, Shushang; Zhu, Wei; Pei, Xi; Cui, Xueting - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012521210

Quasi-Monte Carlo-based conditional pathwise method for option Greeks

Zhang, Chaojun; Wang, Xiaoqun - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012194854

Dynamic hedging strategies based on changing pricing parameters for compound ratchets

Gaillardetz, Patrice; El Khoury, Samia - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012196944

Labour force participation of female youth : the role of culture

Kabunidē, Tzenē; Cholezas, Ioannis - 2015

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011341833

Convergence studies on Monte Carlo methods for pricing mortgage-backed securities

Pang, Tao; Yang, Yipeng; Zhao, Dai - 2015

Monte Carlo methods are widely-used simulation tools for market practitioners from trading to risk management. When pricing complex instruments, like mortgage-backed securities (MBS), strong path-dependency and high dimensionality make the Monte Carlo method the most suitable, if not the only,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011308463

Show 2 more versions 2

Convergence studies on Monte Carlo methods for pricing mortgage-backed securities

Pang, Tao; Yang, Yipeng; Zhao, Dai - 2015

Article

Convergence Studies on Monte Carlo Methods for Pricing Mortgage-Backed Securities

Pang, Tao; Yang, Yipeng; Zhao, Dai - 2015

Article

Unbiased sensitivity estimation of one-dimensional diffusion processes

Kang, Wanmo; Lee, Jong Mun - 2019

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012001124

Conditional Monte Carlo scheme for stable greeks of worst-of autocallable notes

Rakhmonov, Firuz; Rakhmonov, Parviz - 2019

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012153309

An arithmetic pure-jump multi-curve interest rate model

Hess, Markus - 2019

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012183228

A systematic and efficient simulation scheme for the Greeks of financial derivatives

Lyuu, Yuh-dauh; Teng, Huei-Wen; Tseng, Yao-Te; Wang, … - 2019

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012194755

FROM ISTANBUL TO ANKARA: SEEKING THE CONSTANTINOPLE HELLENIC LITERARY SOCIETY’ LIBRARY

MACAR, Elcin - 2013

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010714204

An integral representation of elasticity and sensitivity for stochastic volatility models

Cui, Zhenyu; Nguyen, Duy; Park, Hyungbin - 2018

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011963852

Vibrato and automatic differentiation for high-order derivatives and sensitivities of financial options

Pagès, Gilles; Pironneau, Olivier; Sall, Guillaume - 2018

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011976655

Computation of the delta of European options under stochastic volatility models

Yolcu-Okur, Yeliz; Sayer, Tilman; Yilmaz, Bilgi; … - 2018

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011876576

Sensitivities of Asian options in the black-scholes model

Pirjol, Dan; Zhu, Lingjiong - 2018

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011846502

Algorithmic differentiation for discontinuous payoffs

Daluiso, Roberto; Facchinetti, Giorgio - 2018

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011891863

Greek brain drainers in Europe : an empirical study

Spanou, Dimitra; Karasabboglu, Anastasios; Tsoukalidis, … - 2017

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011745368

Parameter estimation risk in asset pricing and risk management : a Bayesian approach

Tunaru, Radu; Zheng, Teng - 2017

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011877849

Computing deltas without derivatives

Baños, D.; Meyer-Brandis, T.; Proske, Frank; Duedahl, S. - 2017

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011944403

Computation of Greeks using binomial tree

Muroi, Yoshifumi; Suda, Shintaro - 2017

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011752400

Hedging Greeks for a portfolio of options using linear and quadratic programming

Sinha, Pankaj; Johar, Archit - 2010

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10008619201

Computing Greeks for Lévy models : the fourier transform approach

Olivera, Federico de; Mordecki, Ernesto - 2016

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011800675

Handling discontinuities in financial engineering : good path simulation and smoothing

Wang, Xiaoqun - 2016

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011485479

A numerical method for discrete single barrier option pricing with time-dependent parameters

Farnoosh, Rahman; Rezazadeh, Hamidreza; Sobhani, Amirhossein - 2016

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011646608

Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs

Joshi, Mark S.; Zhu, Dan - 2016

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011546983

The efficient application of automatic differentiation for computing gradients in financial applications

Xu, Wei; Chen, Xi; Coleman, Thomas F. - 2016

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011563485

Portfolio formation memory

Sebehela, Tumellano - 2016

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011685702