The following pages link to (Q4486401):
Displaying 50 items.
- A fast stationary iterative method for a partial integro-differential equation in pricing options (Q385437) (← links)
- Tri-diagonal preconditioner for pricing options (Q442720) (← links)
- Efficiently pricing double barrier derivatives in stochastic volatility models (Q488214) (← links)
- Cliquet-style return guarantees in a regime switching Lévy model (Q506080) (← links)
- Clustered Lévy processes and their financial applications (Q515759) (← links)
- Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type (Q625306) (← links)
- Default prediction with the Merton-type structural model based on the NIG Lévy process (Q730567) (← links)
- Exotic options under Lévy models: an overview (Q818210) (← links)
- Fourier inversion formulas in option pricing and insurance (Q835682) (← links)
- Option pricing for pure jump processes with Markov switching compensators (Q854276) (← links)
- Delay differential equations driven by Lévy processes: stationarity and Feller properties (Q855685) (← links)
- Existence of Lévy term structure models (Q928496) (← links)
- Efficient solution of a partial integro-differential equation in finance (Q952815) (← links)
- Numerical methods for Lévy processes (Q964687) (← links)
- Computing exponential moments of the discrete maximum of a Lévy process and lookback options (Q964688) (← links)
- On the stationary version of the generalized hyperbolic ARCH model (Q995800) (← links)
- Variance-optimal hedging for processes with stationary independent increments (Q997954) (← links)
- Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions (Q1611155) (← links)
- Pricing exotic options in a regime switching economy: a Fourier transform method (Q1621619) (← links)
- Chebyshev interpolation for parametric option pricing (Q1650947) (← links)
- Selfdecomposability and selfsimilarity: a concise primer (Q1672921) (← links)
- FFT network for interest rate derivatives with Lévy processes (Q1684764) (← links)
- Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process (Q1730944) (← links)
- Moments and Mellin transform of the asset price in Stein and Stein model and option pricing (Q1754533) (← links)
- On some claims related to Choquet integral risk measures (Q1761861) (← links)
- Numerical valuation of options with jumps in the underlying (Q1775609) (← links)
- On Asian option pricing for NIG Lévy processes (Q1883479) (← links)
- Shot-noise driven multivariate default models (Q1936462) (← links)
- Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications (Q1938497) (← links)
- A multiple-curve HJM model of interbank risk (Q1938982) (← links)
- Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes (Q1952068) (← links)
- Lewis model revisited: option pricing with Lévy processes (Q2021615) (← links)
- A numerical method for hedging Bermudan options under model uncertainty (Q2152245) (← links)
- On the divergence and vorticity of vector ambit fields (Q2196544) (← links)
- Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid (Q2201489) (← links)
- An algorithm for computing non-concave multifractal spectra using the \(S^\nu\) spaces (Q2205734) (← links)
- Asymptotic power utility-based pricing and hedging (Q2257041) (← links)
- A finite-difference approximation for the one- and two-dimensional tempered fractional Laplacian (Q2289881) (← links)
- Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process (Q2293569) (← links)
- Cost-efficiency in multivariate Lévy models (Q2351198) (← links)
- Impact of volatility clustering on equity indexed annuities (Q2374129) (← links)
- Dimension reduction for pricing options under multidimensional Lévy processes (Q2398582) (← links)
- A multifractal formalism for non-concave and non-increasing spectra: the leaders profile method (Q2399648) (← links)
- Fourier based methods for the management of complex life insurance products (Q2665862) (← links)
- A discrete-time hedging framework with multiple factors and fat tails: on what matters (Q2682956) (← links)
- Analysis of Fourier Transform Valuation Formulas and Applications (Q2786205) (← links)
- Classification of Lévy Processes with Parabolic Kolmogorov Backward Equations (Q2821763) (← links)
- Variance optimal hedging for continuous time additive processes and applications (Q2875261) (← links)
- A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS (Q2953304) (← links)
- PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3100749) (← links)
