First-order asymptotics of path-dependent derivatives in multiscale stochastic volatility environment

von Saporito, Yuri F.
Veröffentlicht in International journal of theoretical and applied finance (2018)

Statistical Learning and Inverse Problems: A Stochastic Gradient Approach

von Fonseca, Yuri
Veröffentlicht in NeurIPS (36. : 2022 : New Orleans, La.; Online) 36th Conference on Neural Information Processing Systems (NeurIPS 2022 ; Volume 13 of 50 (2023)

Endogenous asymmetric money illusion

von Duarte, Diogo
Veröffentlicht in Journal of banking & finance (2019)

Avoiding zero probability events when computing value at risk contributions

von Koike, Takaaki
Veröffentlicht in Insurance / Mathematics & economics (2022)

Multiscale stochastic volatility model for derivatives on futures

von Fouque, Jean-Pierre
Veröffentlicht in International journal of theoretical and applied finance (2014)