Accurate and robust numerical methods for the dynamic portfolio management problem

von Cong, Fei
Veröffentlicht in Computational economics (2017)

Computing credit valuation adjustment for Bermudan options with wrong way risk

von Feng, Qian
Veröffentlicht in International journal of theoretical and applied finance (2017)

Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation

von Cong, F.
Veröffentlicht in Journal of economic dynamics & control (2016)

On pre-commitment aspects of a time-consistent strategy for a mean-variance investor

von Cong, F.
Veröffentlicht in Journal of economic dynamics & control (2016)

On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization

von Cong, F.
Veröffentlicht in International journal of theoretical and applied finance (2017)

From arbitrage to arbitrage-free implied volatilities

von Grzelak, Lech A.
Veröffentlicht in The journal of computational finance (2017)

Mathematical modeling and computation in finance : with exercises and Python and Matlab computer codes

von Oosterlee, Cornelis Willebrordus
Veröffentlicht 2020

Numerical techniques for the Heston collocated volatility model

von Le Floc'h, Fabien
Veröffentlicht in The journal of computational finance (2020)

Model-free stochastic collocation for an arbitrage-free implied volatility, part I

von Le Floc'h, Fabien
Veröffentlicht in Decisions in economics and finance (2019)

Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method

von Karlsson, Patrik
Veröffentlicht in Applied mathematical finance (2016)

Multigrid

von Trottenberg, Ulrich
Veröffentlicht 2003

Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model

von Karlsson, Patrik
Veröffentlicht in International journal of financial engineering (2016)

Multigrid

von Trottenberg, Ulrich
Veröffentlicht 2001

From Concentration Profiles to Concentration Maps : new tools for the study of loss distributions

von Fontanari, Andrea
Veröffentlicht in Insurance / Mathematics & economics (2018)

On the application of spectral filters in a Fourier option pricing technique

von Ruijter, Marjon
Veröffentlicht in The journal of computational finance (2015)

Dilated convolutional neural networks for time series forecasting

von Borovykh, Anastasia
Veröffentlicht in The journal of computational finance (2019)

Efficient multiple time-step simulation of the SABR model

von Leitao, Álvaro
Veröffentlicht in ECMI (19. : 2016 : Santiago de Compostela) Progress in industrial mathematics at ECMI 2016 (2017)

Relevance of wrong-way risk in funding valuation adjustments

von Zwaard, Thomas van der
Veröffentlicht in Finance research letters (2022)

Collocating volatility : a competitive alternative to stochastic local volatility models

von Stoep, Anthonie W. van der
Veröffentlicht in International journal of theoretical and applied finance (2020)

Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions

von Feng, Qian
Veröffentlicht in The journal of computational finance (2016)