Dirichlet Forms and Finite Element Methods for the SABR Model (Q4579839): Difference between revisions

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+High order discretization schemes for the CIR process: Application to affine term structure and Heston models
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+Modern SABR Analytics
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+Dirichlet forms and analysis on Wiener space
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+A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL
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+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
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+Integro-differential equations for option prices in exponential Lévy models
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+FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES
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+Biorthogonal spline wavelets on the interval -- stability and moment conditions
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+Shapes of Implied Volatility with Positive Mass at Zero
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+An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process
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+The local regularity of solutions of degenerate elliptic equations
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+THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS
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+Dirichlet forms and symmetric Markov processes
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+LEFT-WING ASYMPTOTICS OF THE IMPLIED VOLATILITY IN THE PRESENCE OF ATOMS
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+On the probability of hitting the boundary for Brownian motions on the SABR plane
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+Probability Distribution in the SABR Model of Stochastic Volatility
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+Computational methods for quantitative finance. Finite element methods for derivative pricing
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+Comparison results for stochastic volatility models via coupling
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+COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA
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+Simulation of the CEV process and the local martingale property
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+Correlations and bounds for stochastic volatility models
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+Fast deterministic pricing of options on Lévy driven assets
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+Weighted Norm Inequalities for the Hardy Maximal Function
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+Asymptotic Implied Volatility at the Second Order with Application to the SABR Model
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+Wavelet Discretizations of Parabolic Integrodifferential Equations
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+Wavelet solution of degenerate Kolmogoroff forward equations for exotic contracts in finance
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+The Mathematics of Financial Derivatives
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