Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
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numerical integrationoption pricingjump diffusionMonte Carlo simulationriskvolatilityreal optionsrisk managementstochastic volatilityBlack-Scholes modelcredit riskdefault riskhedgingbinomial modeldividend paymentuncertain parametersutility theoryderivativesfinite-difference methodsvolatility surfacestochastic calculusquantitative financeexotic optionsstorage costsenergy derivativesMerton modelinterest rate modelingnon-probabilistic interest rate model
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Microeconomic theory (price theory and economic markets) (91B24) Stochastic models in economics (91B70) Actuarial science and mathematical finance (91Gxx) Mathematics for nonmathematicians (engineering, social sciences, etc.) (00A06)
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(only showing first 100 items - show all)- Numerical investigation of high-dimensional option pricing PDEs by utilizing a hybrid radial basis function -- finite difference procedure
- Polynomial chaos for simulating random volatilities
- Pricing digital outperformance options with uncertain correlation
- Running supremum of Brownian motion in dimension 2: exact and asymptotic results
- A semi-analytic pricing formula for lookback options under a general stochastic volatility model
- A versatile approach for stochastic correlation using hyperbolic functions
- Lookback option pricing under the double Heston model using a deep learning algorithm
- Valuing a timber harvest contract as a high-dimensional American call option via least-squares Monte Carlo simulation
- Option pricing with Legendre polynomials
- Optimal hedging in discrete time
- Speeding up the Euler scheme for killed diffusions
- Price equations with symmetric supply/demand; implications for fat tails
- Power penalty approach to American options pricing under regime switching
- Applying a power penalty method to numerically pricing American bond options
- American-type basket option pricing: a simple two-dimensional partial differential equation
- The QLBS Q-Learner goes NuQLear: fitted Q iteration, inverse RL, and option portfolios
- Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate
- Analysis of the optimal exercise boundary of American put options with delivery lags
- A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs
- Paul Wilmott introduces quantitative finance. With CD-ROM
- Some pricing tools for the variance gamma model
- A hybrid convolutional neural network with long short-term memory for statistical arbitrage
- Regime switching in stochastic models of commodity prices: an application to an optimal tree harvesting problem
- An RLT approach for solving the binary-constrained mixed linear complementarity problem
- Particle-scale modelling of financial price dynamics
- On expansions for the Black-Scholes prices and hedge parameters
- Pricing variable annuity guarantees in a local volatility framework
- An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
- Multi-asset Black-Scholes model as a variable second class constrained dynamical system
- Arbitrage risk induced by transaction costs
- Derivation of non-classical stochastic price dynamics equations
- Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility
- Model uncertainty, recalibration, and the emergence of delta-vega hedging
- Historical backtesting of local volatility model using aud/usd vanilla options
- Option pricing, stochastic volatility, singular dynamics and constrained path integrals
- Stochastic volatility models at = 1 as second class constrained Hamiltonian systems
- Vanna-Volga methods applied to FX derivatives: from theory to market practice
- Closed-form option pricing for exponential Lévy models: a residue approach
- Meshless methods for American option pricing through physics-informed neural networks
- PDTM approach to solve Black Scholes equation for powered ML-payoff function
- Operator splitting schemes for the two-asset Merton jump-diffusion model
- Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs
- Pricing options on EU ETS certificates with a time-varying market price of risk model
- A MOMENT MATCHING APPROACH TO THE VALUATION OF A VOLUME WEIGHTED AVERAGE PRICE OPTION
- A semigroup approach to American options
- Optimal hedging of American options in discrete time
- On a semi-spectral method for pricing an option on a mean-reverting asset
- IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS
- Heston model: the variance swap calibration
- The art of quantitative finance Vol. 2. Volatilities, stochastic analysis and valuation tools
- The value of power-related options under spectrally negative Lévy processes
- Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market
- Pricing of American carbon emission derivatives and numerical method under the mixed fractional Brownian motion
- Pricing American bond options using a penalty method
- The pricing of Quanto options under dynamic correlation
- A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
- Valuation of European Options Under an Uncertain Market Price of Volatility Risk
- Lookback option pricing for regime-switching jump diffusion models
- Combining guaranteed and spot markets in display advertising: selling guaranteed page views with stochastic demand
- IMEX-RK finite volume methods for nonlinear 1d parabolic PDEs. Application to option pricing
- Dynamic programming and error estimates for stochastic control problems with maximum cost
- How to escape a declining market: capacity investment or exit?
- Extracting the sovereigns' CDS market hierarchy: a correlation-filtering approach
- The shadow costs of repos and bank liability structure
- Pricing Asian options via compound gamma and orthogonal polynomials
- Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model
- APPROXIMATING OPTION PRICES UNDER LARGE CHANGES OF UNDERLYING ASSET PRICES
- A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion
- Asymptotic analysis of shout options close to expiry
- Mathematical model of stock prices via a fractional Brownian motion model with adaptive parameters
- Calibrating local volatility models with stochastic drift and diffusion
- A new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian option
- Modelling and calibration of stochastic correlation in finance
- A genetic estimation algorithm for parameters of stochastic ordinary differential equations
- Asymptotic option pricing under the CEV diffusion
- scientific article; zbMATH DE number 1869208 (Why is no real title available?)
- Estimation of ask and bid prices for geometric Asian options
- A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
- Endogenous stochastic arbitrage bubbles and the Black-Scholes model
- Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance
- A stochastic local volatility technique for TARN options
- A self-exciting threshold jump-diffusion model for option valuation
- Stochastic covariance and dimension reduction in the pricing of basket options
- Handbooks in operations research and management science: Financial engineering
- Pricing American call options under a hard-to-borrow stock model
- LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS
- On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE
- Resonance phenomena in option pricing with arbitrage
- Functional Itô calculus, path-dependence and the computation of Greeks
- Quanto pricing in stochastic correlation models
- An introduction to quantitative finance
- Installment options close to expiry
- Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions
- Testing diffusion processes for non-stationarity
- On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures
- Computational technique for treating the nonlinear Black-Scholes equation with the effect of transaction costs
- Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs
- Iterative speedup by utilizing symmetric data in pricing options with two risky assets
- Integral equation formulation for shout options
- Hedging strategy for a portfolio of options and stocks with linear programming
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