David Krief
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Person:4976511
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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