| Kriging metamodels and experimental design for Bermudan option pricing |
10 |
| epsilon-monotone Fourier methods for optimal stochastic control in finance |
5 |
| American and exotic option pricing with jump diffusions and other Levy processes |
4 |
| Dilated convolutional neural networks for time series forecasting |
4 |
| Hedging of options in the presence of jump clustering |
3 |
| Path independence of exotic options and convergence of binomial approximations |
1 |
| The standard market risk model of the Swiss solvency test: an analytic solution |
1 |
| A new approach to the quantification of model risk for practitioners |
1 |
| Vibrato and automatic differentiation for high-order derivatives and sensitivities of financial options |
1 |
| Complexity reduction for calibration to American options |
1 |
| Portfolio optimization for American options |
1 |
| Local volatility models in commodity markets and online calibration |
1 |
| The extended SSVI volatility surface |
1 |
| Calculate tail quantiles of compound distributions |
0 |
| Efficient conservative second-order central-upwind schemes for option-pricing problems |
0 |
| Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method |
0 |
| Importance sampling for jump-diffusions via cross-entropy |
0 |
| Importance sampling applied to Greeks for jump-diffusion models with stochastic volatility |
0 |
| Investment opportunities forecasting: a genetic programming-based dynamic portfolio trading system under a directional-change framework |
0 |
| A nonparametric local volatility model for swaptions smile |
0 |
| Pricing multivariate barrier reverse convertibles with factor-based subordinators |
0 |
| Hybrid finite-difference/pseudospectral methods for the Heston and Heston-Hull-White partial differential equations |
0 |
| An adaptive Filon quadrature for stochastic volatility models |
0 |
| Efficient pricing and super-replication of corridor variance swaps and related products |
0 |
| A new nonlinear partial differential equation in finance and a method of its solution |
0 |
| Adjoint algorithmic differentiation tool support for typical numerical patterns in computational finance |
0 |
| Monte Carlo payoff smoothing for pricing autocallable instruments |
0 |
| Path-dependent American options |
0 |
| Yield curve fitting with artificial intelligence: a comparison of standard fitting methods with artificial intelligence algorithms |
0 |
| Application of the Heath-Platen estimator in the Fong-Vasicek short rate model |
0 |
| Local variance gamma revisited |
0 |
| Bermudan swaption model risk analysis: a local volatility approach |
0 |
| Polynomial upper and lower bounds for financial derivative price functions under regime-switching |
0 |
| Fast stochastic forward sensitivities in Monte Carlo simulations using stochastic automatic differentiation (with applications to initial margin valuation adjustments) |
0 |
| A pairwise local correlation model |
0 |
| Ensemble models in forecasting financial markets |
0 |
| One-dimensional Markov-functional models driven by a non-Gaussian driver |
0 |
| The Chebyshev method for the implied volatility |
0 |
| Variance optimal hedging with application to electricity markets |
0 |
| The two-dimensional tree-grid method |
0 |
