David Krief

From MaRDI portal
Person:4976511

Available identifiers

zbMath Open krief.davidMaRDI QIDQ4976511

List of research outcomes





PublicationDate of PublicationType
Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models2022-01-18Paper
Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing2020-02-14Paper
Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing2018-09-17Paper
Approximate Option Pricing in the Lévy Libor Model2017-07-31Paper

Research outcomes over time

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