Pages that link to "Item:Q1883335"
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The following pages link to Stochastic calculus for finance. II: Continuous-time models. (Q1883335):
Displaying 50 items.
- Dividend derivatives (Q4554410) (← links)
- Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions (Q4554510) (← links)
- Arithmetic variance swaps (Q4555097) (← links)
- Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance (Q4555162) (← links)
- On the First Passage Time Under Regime-Switching with Jumps (Q4561943) (← links)
- OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION (Q4563780) (← links)
- From Minority Game to Black&Scholes Pricing (Q4585003) (← links)
- Market calibration under a long memory stochastic volatility model (Q4585681) (← links)
- Pricing European options with stochastic volatility under the minimal entropy martingale measure (Q4594578) (← links)
- WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS (Q4595298) (← links)
- Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement (Q4604901) (← links)
- A Stochastic Model of Optimal Debt Management and Bankruptcy (Q4607052) (← links)
- SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS (Q4608116) (← links)
- The survival probability of the SABR model: asymptotics and application (Q4619520) (← links)
- Stochastic Filtering Methods in Electronic Trading (Q4626524) (← links)
- Analysis of a jump-diffusion option pricing model with serially correlated jump sizes (Q4634810) (← links)
- Some optimal variance stopping problems revisited with an application to the Italian Ftse-Mib stock index (Q4639222) (← links)
- MATHEMATICAL PROPERTIES OF AMERICAN CHOOSER OPTIONS (Q4645333) (← links)
- Statistical arbitrage in the Black–Scholes framework (Q4683080) (← links)
- A review of numerical methods for nonlinear partial differential equations (Q4899977) (← links)
- AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS (Q4902545) (← links)
- Computation of the effects of uncertainty in volatility on option pricing and hedging (Q4903549) (← links)
- Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims (Q4915657) (← links)
- Dividend derivatives (Q4957231) (← links)
- Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model (Q4986444) (← links)
- A Free Boundary Problem of Liquidity Management for Optimal Dividend and Insurance in Finite Horizon (Q5000635) (← links)
- Partial differential equations for Asian option prices (Q5001142) (← links)
- Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs (Q5001155) (← links)
- A forward equation for barrier options under the Brunick & Shreve Markovian projection (Q5001174) (← links)
- Quantification of model uncertainty on path-space<i>via</i>goal-oriented relative entropy (Q5006303) (← links)
- Solving high-dimensional optimal stopping problems using deep learning (Q5014845) (← links)
- Optimal control for a nonlinear stochastic parabolic model of population competition (Q5015989) (← links)
- An efficient exponential twisting importance sampling technique for pricing financial derivatives (Q5022767) (← links)
- Hedging error estimate of the american put option problem in jump-diffusion processes (Q5024445) (← links)
- Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models (Q5031165) (← links)
- Dynamic Fund Protection for Property Markets (Q5043476) (← links)
- On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions (Q5055127) (← links)
- CALIBRATING LOCAL VOLATILITY MODELS WITH STOCHASTIC DRIFT AND DIFFUSION (Q5066306) (← links)
- On Pricing American Put Option on a Fixed Term: A Monte Carlo Approach (Q5066681) (← links)
- Pricing collateralised options in the presence of counterparty credit risk: An extension of the Heston–Nandi model (Q5070711) (← links)
- A fast algorithm for simulation of rough volatility models (Q5072905) (← links)
- Pricing renewable identification numbers under uncertainty (Q5079363) (← links)
- Quanto option pricing with a jump diffusion process (Q5082959) (← links)
- Strong solutions for jump-type stochastic differential equations with non-Lipschitz coefficients (Q5086493) (← links)
- Ergodicity of CIR type SDEs driven by stable processes with random switching (Q5086515) (← links)
- Kernel-based collocation methods for Heath–Jarrow–Morton models with Musiela parametrization (Q5086713) (← links)
- On perpetual American options in a multidimensional Black–Scholes model (Q5094573) (← links)
- (Q5095418) (← links)
- Representation of exchange option prices under stochastic volatility jump-diffusion dynamics (Q5121499) (← links)
- A model of debt with bankruptcy risk and currency devaluation (Q5131862) (← links)