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- scientific article; zbMATH DE number 412098 (Why is no real title available?)
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- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A penalty method for American options with jump diffusion processes
- An Interior Trust Region Approach for Nonlinear Minimization Subject to Bounds
- Estimation of dependences based on empirical data. Transl. from the Russian by Samuel Kotz
- Financial Modelling with Jump Processes
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Option pricing when underlying stock returns are discontinuous
- Post-'87 crash fears in the S\&P 500 futures option market
- Reconstructing the unknown local volatility function
- Robust numerical methods for contingent claims under jump diffusion processes
- The pricing of options on assets with stochastic volatilities
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
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- Pricing and hedging contingent claims using variance and higher order moment swaps
- An improved Markov chain approximation methodology: derivatives pricing and model calibration
- Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing
- Using the short-lived arbitrage model to compute minimum variance hedge ratios: application to indices, stocks and commodities
- Jumping hedges on the strength of the Mellin transform
- Approximate hedging of options under jump-diffusion processes
- Lookback option pricing for regime-switching jump diffusion models
- Bitcoin: jumps, convenience yields, and option prices
- A computational approach to hedging credit valuation adjustment in a jump-diffusion setting
- Hedging of options for jump-diffusion stochastic volatility models by Malliavin calculus
- HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET
- A splitting strategy for the calibration of jump-diffusion models
- Simulation of jump diffusions and the pricing of options
- The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
- American-style options in jump-diffusion models: estimation and evaluation
- Learning minimum variance discrete hedging directly from the market
- Efficient pricing and hedging of high-dimensional American options using deep recurrent networks
- Estimation and prediction under local volatility jump-diffusion model
- Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models
- Calibration of a Jump-Diffusion Process Using Optimal Control
- Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
- Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model
- An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs
- Pricing and hedging of quantile options in a flexible jump diffusion model
- Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability
- Stable local volatility function calibration using spline kernel
- Pricing and hedging defaultable participating contracts with regime switching and jump risk
- Continuously monitored barrier options under Markov processes
- A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics
- Hedging error estimate of the American put option problem in jump-diffusion processes
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