Julien Hok

MaRDI QIDQ2292055zbMATH OpenFDO

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
FX Open Forward Quantitative Finance	2025-01-06	Paper
Speeding up the Euler scheme for killed diffusions Finance and Stochastics	2024-07-02	Paper
Speeding up the Euler scheme for killed diffusions	2021-06-28	Paper
Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods Decisions in Economics and Finance	2020-01-31	Paper
Expansion formulas for European quanto options in a local volatility FX-LIBOR model International Journal of Theoretical and Applied Finance	2018-04-11	Paper
Option pricing with Legendre polynomials Journal of Computational and Applied Mathematics	2017-06-01	Paper
Option pricing with Legendre polynomials Journal of Computational and Applied Mathematics	2017-06-01	Paper
Forward implied volatility expansion in time-dependent local volatility models ESAIM: Proceedings and Surveys	2016-01-29	Paper
Expansion formulas for bivariate payoffs with application to best-of options on equity and inflation International Journal of Theoretical and Applied Finance	2014-06-19	Paper

Research outcomes over time

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