Works matching IS 09492984 AND DT 2009 AND VI 13 AND IP 4
Results: 6
Fast and accurate pricing of barrier options under Lévy processes.
- Published in:
- Finance & Stochastics, 2009, v. 13, n. 4, p. 531, doi. 10.1007/s00780-009-0103-2
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- Article
Numerical methods for Lévy processes.
- Published in:
- Finance & Stochastics, 2009, v. 13, n. 4, p. 471, doi. 10.1007/s00780-009-0100-5
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- Article
Computing exponential moments of the discrete maximum of a Lévy process and lookback options.
- Published in:
- Finance & Stochastics, 2009, v. 13, n. 4, p. 501, doi. 10.1007/s00780-009-0096-x
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- Article
Smart expansion and fast calibration for jump diffusions.
- Published in:
- Finance & Stochastics, 2009, v. 13, n. 4, p. 563, doi. 10.1007/s00780-009-0102-3
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- Publication type:
- Article
MDP algorithms for portfolio optimization problems in pure jump markets.
- Published in:
- Finance & Stochastics, 2009, v. 13, n. 4, p. 591, doi. 10.1007/s00780-009-0093-0
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- Article
Interacting particle systems for the computation of rare credit portfolio losses.
- Published in:
- Finance & Stochastics, 2009, v. 13, n. 4, p. 613, doi. 10.1007/s00780-009-0098-8
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- Publication type:
- Article