Pages that link to "Item:Q5207029"

The following pages link to Mathematical Modeling and Computation in Finance (Q5207029):

Displaying 18 items.

• Precise option pricing by the COS method -- how to choose the truncation range (Q2079122) (← links)
• Binomial tree method for option pricing: discrete cosine transform approach (Q2140059) (← links)
• Sparse grid method for highly efficient computation of exposures for xVA (Q2168601) (← links)
• The stochastic \(\theta\)-SEIHRD model: adding randomness to the COVID-19 spread (Q2170821) (← links)
• Valuation of electricity storage contracts using the COS method (Q2245038) (← links)
• A computational approach to hedging credit valuation adjustment in a jump-diffusion setting (Q2661050) (← links)
• SENSITIVITIES AND HEDGING OF THE COLLATERAL CHOICE OPTION (Q5048585) (← links)
• CALIBRATING LOCAL VOLATILITY MODELS WITH STOCHASTIC DRIFT AND DIFFUSION (Q5066306) (← links)
• Cheapest-to-deliver collateral: a common factor approach (Q5079362) (← links)
• PRICING AND HEDGING PREPAYMENT RISK IN A MORTGAGE PORTFOLIO (Q5866970) (← links)
• APPROXIMATING OPTION PRICES UNDER LARGE CHANGES OF UNDERLYING ASSET PRICES (Q5889366) (← links)
• Monte Carlo simulation of SDEs using GANs (Q6072362) (← links)
• Total value adjustment of Bermudan option valuation under pure jump Lévy fluctuations (Q6561203) (← links)
• The Heston-Queue-Hawkes process: a new self-exciting jump-diffusion model for options pricing, and an extension of the COS method for discrete distributions (Q6593327) (← links)
• Accelerated computations of sensitivities for xVA* (Q6625109) (← links)
• Efficient pricing and calibration of high-dimensional basket options (Q6625110) (← links)
• On pricing of discrete Asian and Lookback options under the Heston model (Q6625112) (← links)
• Efficient wrong-way risk modeling for funding valuation adjustments (Q6633868) (← links)