„91G60“
Suchergebnisse
1.000+ Treffer
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Tools for Computational Finance
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Calibration and simulation of Heston model
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Pricing barrier options in the Heston model using the Heath–Platen estimator
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Tools for Computational Finance
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Option pricing: Examples and open problems
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XVA metrics for CCP optimization
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Arbitrage-free interpolation of call option prices
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Fast solution strategies for time-space fractional linear complementarity problems governing American options pricing
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Vanilla options as controls for estimating the conditional expectation of a European derivative payoff
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A nested MLMC framework for efficient simulations on FPGAs
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Financial Modeling – A Backward Stochastic Differential Equations Perspective
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A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation
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On solving stochastic differential equations
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A third-order weak approximation of multidimensional Itô stochastic differential equations
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A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus
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Equity-linked security pricing and Greeks at arbitrary intermediate times using Brownian bridge
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A computational investigation of the optimal Halton sequence in QMC applications
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A quasi-Monte Carlo implementation of the ziggurat method
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A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion
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Neural network regression for Bermudan option pricing