David Krief
From MaRDI portal
List of research outcomes
This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!
| Publication | Date of Publication | Type |
|---|---|---|
| Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models Advances in Applied Probability | 2022-01-18 | Paper |
| Long-time large deviations for the multiasset Wishart stochastic volatility model and option pricing SIAM Journal on Financial Mathematics | 2020-02-14 | Paper |
| Long-time large deviations for the multiasset Wishart stochastic volatility model and option pricing SIAM Journal on Financial Mathematics | 2020-02-14 | Paper |
| Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing | 2018-09-17 | Paper |
| Approximate option pricing in the Lévy Libor model Springer Proceedings in Mathematics & Statistics | 2017-07-31 | Paper |
Research outcomes over time
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