Two useful techniques for financial modelling problems

DOI10.1080/13504860903257666MaRDI QIDQ2786204zbMATH OpenOpenAlexFDO

Authors Paul Doust

Publication date 21 September 2010

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860903257666

zbMATH Keywords

financial modelling

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• Parameterizing correlations: a geometric interpretation

Cited in

(3)

• The deep parametric PDE method and applications to option pricing
• Modeling and solving alternative financial solutions seeking
• Smoothing the payoff for efficient computation of Basket option prices

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