The following pages link to Luca Capriotti (Q2929373):
Displayed 10 items.
- AN EFFECTIVE APPROXIMATION FOR ZERO-COUPON BONDS AND ARROW–DEBREU PRICES IN THE BLACK–KARASINSKI MODEL (Q2929374) (← links)
- THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES (Q3421830) (← links)
- (Q3592966) (← links)
- Least-squares Importance Sampling for Monte Carlo security pricing (Q3605223) (← links)
- Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks (Q4586447) (← links)
- AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks (Q4586457) (← links)
- APPROXIMATION METHODS FOR INHOMOGENEOUS GEOMETRIC BROWNIAN MOTION (Q4631690) (← links)
- A path-integral approximation for non-linear diffusions (Q5215434) (← links)
- Machine learning and corporate bond trading (Q5217679) (← links)
- A SPREAD-RETURN MEAN-REVERTING MODEL FOR CREDIT SPREAD DYNAMICS (Q5420697) (← links)