Pages that link to "Item:Q1883335"
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The following pages link to Stochastic calculus for finance. II: Continuous-time models. (Q1883335):
Displayed 50 items.
- Total return swap valuation with counterparty risk and interest rate risk (Q1724070) (← links)
- On the distribution of extended CIR model (Q1726700) (← links)
- Pricing contingent convertible bonds: an analytical approach based on two-dimensional stochastic processes (Q1726915) (← links)
- Relationship between least squares Monte Carlo and approximate linear programming (Q1728294) (← links)
- A new stability result for the modified Craig-Sneyd scheme applied to two-dimensional convection-diffusion equations with mixed derivatives (Q1733474) (← links)
- A further study of the choice between two hedging strategies -- the continuous case (Q1739336) (← links)
- Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures (Q1749526) (← links)
- Comparison of least squares Monte Carlo methods with applications to energy real options (Q1752185) (← links)
- Buy now and price later: supply contracts with time-consistent mean-variance financial hedging (Q1754354) (← links)
- Solution of nonlinear stochastic equations with a generator of a semigroup discontinuous at zero (Q1759182) (← links)
- Path integral pricing of wasabi option in the Black-Scholes model (Q1783050) (← links)
- CAM stochastic volatility model for option pricing (Q1793313) (← links)
- Portfolio selection of a closed-end mutual fund (Q1935935) (← links)
- Unifying exotic option closed formulas (Q1937834) (← links)
- Brownian meanders, importance sampling and unbiased simulation of diffusion extremes (Q1939714) (← links)
- Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model (Q1946533) (← links)
- Robust arbitrage conditions for financial markets (Q1981932) (← links)
- Utility maximization with habit formation of interaction (Q1983703) (← links)
- Effect of institutional deleveraging on option valuation problems (Q1983756) (← links)
- Scaling limits of processes with fast nonlinear mean reversion (Q1986011) (← links)
- Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality (Q1994577) (← links)
- A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model (Q1998282) (← links)
- Recovery of local volatility for financial assets with mean-reverting price processes (Q2001544) (← links)
- Understanding delta-hedged option returns in stochastic volatility environments (Q2013296) (← links)
- The value of interest rate guarantees in participating life insurance contracts: status quo and alternative product design (Q2015616) (← links)
- Pricing variable annuity guarantees in a local volatility framework (Q2015631) (← links)
- Time-consistent portfolio optimization (Q2028852) (← links)
- A model of investment under uncertainty with time to build, market incompleteness and risk aversion (Q2030369) (← links)
- How fast does it diverge? Discrete hedging error with transaction costs (Q2046239) (← links)
- Ambiguity in dynamic contracts (Q2067409) (← links)
- The log-asset dynamic with Euler-Maruyama scheme under Wishart processes (Q2068271) (← links)
- Variance and volatility swaps valuations with the stochastic liquidity risk (Q2068493) (← links)
- Dynamics of stocks prices based in the Black \& Scholes equation and nonlinear stochastic differentials equations (Q2078650) (← links)
- Perturbed iterate SGD for Lipschitz continuous loss functions (Q2093279) (← links)
- Flexibility to switch project size: a real option application for photovoltaic investment valuation (Q2094476) (← links)
- Deep combinatorial optimisation for optimal stopping time problems: application to swing options pricing. (Q2094859) (← links)
- Lookback option pricing under the double Heston model using a deep learning algorithm (Q2099529) (← links)
- On the practical point of view of option pricing (Q2101128) (← links)
- On the existence and the Hölder regularity of the local time of the Brownian bridge (Q2101308) (← links)
- Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate (Q2107407) (← links)
- A simple and efficient numerical method for pricing discretely monitored early-exercise options (Q2113697) (← links)
- Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models (Q2115062) (← links)
- Optimal control of the SIR model with constrained policy, with an application to COVID-19 (Q2118494) (← links)
- Inertial-type incremental constraint projection method for solving variational inequalities without Lipschitz continuity (Q2118962) (← links)
- Two-dimensional stochastic dynamics as model for time evolution of the financial market (Q2120661) (← links)
- Parallel search for information in continuous time -- optimal stopping and geometry of the PDE (Q2127692) (← links)
- Path-dependent game options with Asian features (Q2128183) (← links)
- A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model (Q2131630) (← links)
- On approximation of transition densities in calibration of 1-dimensional stochastic models of asset prices (Q2140956) (← links)
- Lie symmetries, group-invariant solutions and conservation laws of the Vasicek pricing equation of mathematical finance (Q2149673) (← links)