Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
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Publication:3391972
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- Model-driven statistical arbitrage on LETF option markets
- Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model
- Multilevel Monte Carlo with numerical smoothing for robust and efficient computation of probabilities and densities
- A general framework for pricing Asian options under stochastic volatility on parallel architectures
- Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
- Implied value-at-risk and model-free simulation
- Pricing levered warrants under the CEV diffusion model
- Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate
- Statistical inference for stochastic differential equations
- An analysis of a three-factor model proposed by the Danish Society of Actuaries for forecasting and risk analysis
- A transform-based method for pricing Asian options under general two-dimensional models
- Least-squares estimation for the subcritical Heston model based on continuous-time observations
- Backward simulation methods for pricing American options under the CIR process
- Explicit solution simulation method for the 3/2 model
- Reducing bias in event time simulations via measure changes
- Comment on: A note on the discontinuity problem in Heston's stochastic volatility model
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- A low-bias simulation scheme for the SABR stochastic volatility model
- Enhancing least squares Monte Carlo with diffusion bridges: an application to energy facilities
- Exact simulation of the Hull and White stochastic volatility model
- Chi-square simulation of the CIR process and the Heston model
- Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
- The mean-reverting 4/2 stochastic volatility model: properties and financial applications
- Branching particle pricers with Heston examples
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- An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate
- Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable
- Approximating inverse cumulative distribution functions to produce approximate random variables
- Optimal stopping under uncertainty in drift and jump intensity
- Saddlepoint approximation methods for pricing derivatives on discrete realized variance
- Multilevel Monte Carlo simulation for the Heston stochastic volatility model
- Exact simulation of the 3/2 model
- The Heston-Queue-Hawkes process: a new self-exciting jump-diffusion model for options pricing, and an extension of the COS method for discrete distributions
- Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
- Deep hedging
- Computation of powered option prices under a general model for underlying asset dynamics
- Approximation of Markov semigroups in total variation distance under an irregular setting: an application to the CIR process
- An optimal investment model with Markov-driven volatilities
- Pricing barrier options in the Heston model using the Heath-Platen estimator
- RBF-FD solution for a financial partial-integro differential equation utilizing the generalized multiquadric function
- On the estimation of jump-diffusion models using intraday data: a filtering-based approach
- Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk
- On an efficient multiple time step Monte Carlo simulation of the SABR model
- Series Expansions and Direct Inversion for the Heston Model
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
- An adaptive splitting method for the Cox-Ingersoll-Ross process
- Collocating volatility: a competitive alternative to stochastic local volatility models
- The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
- Levelling the playing field: a VIX-linked structure for funded pension schemes
- Uniform approximation of the Cox-Ingersoll-Ross process
- Computational technique for simulating variable-order fractional Heston model with application in US stock market
- Monte Carlo simulation of SDEs using GANs
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- A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model
- A dimension reduction Shannon-wavelet based method for option pricing
- Artificial boundary method for European pricing option problem
- Complex logarithms in Heston-like models
- Pricing inflation products with stochastic volatility and stochastic interest rates
- Moments of integrated exponential Lévy processes and applications to Asian options pricing
- Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude
- Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation
- Robust static hedging of barrier options in stochastic volatility models
- Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
- Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations
- BENCHOP -- SLV: the BENCHmarking project in option pricing -- stochastic and local volatility problems
- Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
- High order discretization schemes for the CIR process: application to affine term structure and heston models
- Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
- A comparison of biased simulation schemes for stochastic volatility models
- On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
- Extension of stochastic volatility equity models with the Hull-White interest rate process
- Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases
- Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets
- Simulating random variables using moment-generating functions and the saddlepoint approximation
- A smooth estimator for MC/QMC methods in finance
- Explicit Heston solutions and stochastic approximation for path-dependent option pricing
- Pricing of geometric Asian options under Heston's stochastic volatility model
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