Implementing models in quantitative finance: methods and cases
Monte Carlo methods (65C05) Numerical mathematical programming methods (65K05) Numerical optimization and variational techniques (65K10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
- SCOMDY models based on pair-copula constructions with application to exchange rates
- A calibration procedure for analyzing stock price dynamics in an agent-based framework
- Full and fast calibration of the Heston stochastic volatility model
- Handbook of recent advances in commodity and financial modeling. Quantitative methods in banking, finance, insurance, energy and commodity markets
- Relationship between least squares Monte Carlo and approximate linear programming
- A multi agent model for the limit order book dynamics
- Pricing the financial Heston-Hull-White model with arbitrary correlation factors via an adaptive FDM
- On pricing options with stressed-beta in a reduced form model
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- The concavity of the payoff function of a swing option in a binomial model
- Pricing defaultable bonds in a Markov modulated market
- On a transform method for the efficient computation of conditional V\@R (and V\@R) with application to loss models with jumps and stochastic volatility
- Numerical Methods in Finance and Economics
- Time series analysis and calibration to option data: a study of various asset pricing models
- Pricing American bond options using a penalty method
- Pricing of volume-weighted average options: analytical approximations and numerical results
- Numerical method of pricing discretely monitored barrier option
- Financial derivative and energy market valuation. Theory and implementation in MATLAB
- A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes
- DIGITAL DOUBLE BARRIER OPTIONS: SEVERAL BARRIER PERIODS AND STRUCTURE FLOORS
- A general approach for lookback option pricing under Markov models
- SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL
- Suboptimality of Gauss–Hermite Quadrature and Optimality of the Trapezoidal Rule for Functions with Finite Smoothness
- Fractality of profit landscapes and validation of time series models for stock prices
- A general approximation method for optimal stopping and random delay
- Primal-dual active set method for evaluating American put options on zero-coupon bonds
- Option pricing, maturity randomization and distributed computing
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