scientific article; zbMATH DE number 1742902
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- scientific article; zbMATH DE number 1642338
- Financial modeling under non-Gaussian distributions.
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- scientific article; zbMATH DE number 1642338 (Why is no real title available?)
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- Optimal stopping problems in Lévy models with random observations
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- Modelling tail risk with tempered stable distributions: an overview
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- Some remarks on first passage of Lévy processes, the American put and pasting principles
- Chebyshev interpolation for parametric option pricing
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- The numerical strategy of tempered fractional derivative in European double barrier option
- Asymptotic expansion of the transition density of the semigroup associated to a SDE driven by Lévy noise
- A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models
- Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
- Financial modeling under non-Gaussian distributions.
- A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation
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- On Rényi information for ergodic diffusion processes
- Option pricing under the KoBol model
- A second order numerical scheme for fractional option pricing models
- Closed-form option pricing for exponential Lévy models: a residue approach
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- Feller processes of normal inverse Gaussian type
- Preemption games under Lévy uncertainty
- Optimal stopping for Lévy processes with one-sided solutions
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- Option pricing in some non-Lévy jump models
- Variance-GGC asset price models and their sensitivity analysis
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- A data-driven framework for consistent financial valuation and risk measurement
- Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
- Modelling electricity prices: a time change approach
- On the drawdown of completely asymmetric Lévy processes
- An analysis of dollar cost averaging and market timing investment strategies
- Quanto option pricing in the presence of fat tails and asymmetric dependence
- Ultra-fast pricing barrier options and CDSs
- Some explicit identities associated with positive self-similar Markov processes
- Linear complexity solution of parabolic integro-differential equations
- Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation
- A penalty method for a fractional order parabolic variational inequality governing American put option valuation
- Small-maturity asymptotics for the at-the-money implied volatility slope in Lévy models
- The quintessential option pricing formula under Lévy processes
- Forward-looking portfolio selection with multivariate non-Gaussian models
- A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
- A preconditioned iterative method for coupled fractional partial differential equation in European option pricing
- Exit problems in regime-switching models
- An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models
- A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models
- Instantaneous portfolio theory
- Equations related to stochastic processes: semigroup approach and Fourier transform
- Generalised class of time fractional black Scholes equation and numerical analysis
- A family of density expansions for Lévy-type processes
- Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process
- Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
- Applications of artificial neural networks to simulating Lévy processes
- Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders
- Heat kernel asymptotics of the subordinator and subordinate Brownian motion
- Double-barrier option pricing under the hyper-exponential jump diffusion model
- Pitfalls of the Fourier transform method in affine models, and remedies
- Efficient evaluation of double-barrier options
- Construction of the Black-Scholes PDE with jump-diffusion model
- Exotic options under Lévy models: an overview
- Adaptation to climate change: extreme events versus gradual changes
- Monte Carlo option pricing for tempered stable (CGMY) processes
- American options: the EPV pricing model
- Exotic option pricing and advanced Lévy models.
- Option pricing under some Lévy-like stochastic processes
- A finite difference method for pricing European and American options under a geometric Lévy process
- Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing
- A theory of non‐Gaussian option pricing
- A posteriori error analysis for a class of integral equations and variational inequalities
- Upper and lower bounds of optimal stopping for a random sequence: the case of finite horizon
- Conformal accelerations method and efficient evaluation of stable distributions
- Static hedging under maturity mismatch
- Swing option pricing by dynamic programming with b-spline density projection
- The relative entropy in CGMY processes and its applications to finance
- A novel banded preconditioner for coupled tempered fractional diffusion equation generated from the regime-switching CGMY model
- Fast numerical simulation of a new time-space fractional option pricing model governing European call option
- American options in the Heston model with stochastic interest rate and its generalizations
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