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A semi‐Lagrangian ε$$ \varepsilon $$‐monotone Fourier method for continuous withdrawal GMWBs under jump‐diffusion with stochastic interest rate.
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- Numerical Methods for Partial Differential Equations, 2024, v. 40, n. 3, p. 1, doi. 10.1002/num.23075
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- Article
PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION.
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- International Journal of Theoretical & Applied Finance, 2021, v. 24, n. 05, p. 1, doi. 10.1142/S0219024921500291
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- Article
Graphics processing unit pricing of exotic cross-currency interest rate derivatives with a foreign exchange volatility skew model.
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- Concurrency & Computation: Practice & Experience, 2014, v. 26, n. 9, p. 1609, doi. 10.1002/cpe.2824
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- Article
Continuous time mean-variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach.
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- Numerical Methods for Partial Differential Equations, 2014, v. 30, n. 2, p. 664, doi. 10.1002/num.21836
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- Article
An efficient graphics processing unit-based parallel algorithm for pricing multi-asset American options.
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- Concurrency & Computation: Practice & Experience, 2012, v. 24, n. 8, p. 849, doi. 10.1002/cpe.1784
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- Article