Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling

von Shevchenko, Pavel V.
Veröffentlicht in The journal of computational finance (2003)

Modelling operational risk using Bayesian inference

von Shevchenko, Pavel V.
Veröffentlicht 2011

Calculation of aggregate loss distributions

von Shevchenko, Pavel V.
Veröffentlicht in The journal of operational risk (2010)

Fast and simple method for pricing exotic options using Gauss-Hermite quadrature on a cubic spline interpolation

von Luo, Xiaolin
Veröffentlicht in Journal of financial engineering (2014)

Computing tails of compound distributions using direct numerical integration

von Luo, Xiaolin
Veröffentlicht in The journal of computational finance (2010)

Modeling operational risk data reported above a time-varying threshold

von Shevchenko, Pavel V.
Veröffentlicht in The journal of operational risk (2009)

Markov chain Monte Carlo estimation of default and recovery : dependent vial the latent systematic factor

von Luo, Xiaolin
Veröffentlicht in The journal of credit risk (2013)

Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization

von Luo, Xiaolin
Veröffentlicht in Insurance / Mathematics & economics (2015)

Fast numerical method for pricing of variable annuities with Guaranteed minimum withdrawal benefit under optimal withdrawal strategy

von Luo, Xiaolin
Veröffentlicht in International journal of financial engineering (2015)

Pricing TARNs using a finite difference method

von Luo, Xiaolin
Veröffentlicht in The journal of derivatives (2015)

Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate

von Shevchenko, Pavel V.
Veröffentlicht in Insurance / Mathematics & economics (2017)

Valuation of barrier options using sequential Monte Carlo

von Shevchenko, Pavel V.
Veröffentlicht in The journal of computational finance (2017)

Advances in heavy tailed risk modeling : a handbook of operational risk

von Peters, Gareth W.
Veröffentlicht 2015

Advances in heavy tailed risk modeling : a handbook of operational risk

von Peters, Gareth W.
Veröffentlicht 2015

The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion

von Penev, Spiridon
Veröffentlicht in European journal of operational research (2019)

Optimal consumption, investment and housing with means-tested public pension in retirement

von Andréasson, Johan G.
Veröffentlicht in Insurance / Mathematics & economics (2017)

Water Imbibition and Oil Recovery in Shale: Dynamics and Mechanisms Using Integrated Cm-To-Nm-Scale Imaging

von Peng, Sheng
Veröffentlicht in SPE/AAPG/SEG Unconventional Resources Technology Conference (2022 : Houston, Tex.) SPE/AAPG/SEG Unconventional Resources Technology Conference (URTeC 2022) ; Volume 4 of 5 (2022)

Fundamental aspects of operational risk and insurance analytics : a handbook of operational risk

von Cruz, Marcelo G.
Veröffentlicht 2015

Life cycle insurance, bequest motives and annuity loads

von Arandjelović, Aleksandar
Veröffentlicht in Journal of economic dynamics & control (2023)

A unified approach to mortality modelling using state-space framework : characterisation, identification, estimation and forecasting

von Fung, Man Chung
Veröffentlicht in Annals of actuarial science (2017)