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Undated material is presented at the end, although it may be more recent than other items
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- 2160339 Life-cycle asset allocation and consumption using stochastic linear programming
by Alois Geyer, Michael Hanke, Alex Weissensteiner - 2160340 The influence of correlation on multi-asset portfolio optimization with transaction costs
by Colin Atkinson and Pongsathorn Ingpochai - 2160341 Saddlepoint methods for option pricing
by Peter Carr & Dilip B. Madan - 2160342 Modeling correlated defaults: first passage model under stochastic volatility
by Jean-Pierre Fouque, Brian C. Wignall, Xianwen Zhou - 2160343 Optimal Fourier inversion in semi-analytical option pricing
by Roger Lord, Christian Kahl - 2160344 Efficient calculation of expected shortfall contributions in large credit portfolios
by Michael Kalkbrener, Anna Kennedy, Monika Popp - 2160345 American options in Lévy models with stochastic interest rates
by Svetlana Boyarchenko, Sergei Levendorskii - 2160346 Highly accurate evaluation of European and American options under the Variance Gamma process
by Ariel Almendral, CornelisW. Oosterlee - 2160347 Numerical techniques for the valuation of basket options and their Greeks
by Corinna Hager, Stefan Hüeber, Barbara I. Wohlmuth - 2160348 PDE methods for maximum drawdown
by Libor Pospisil, Jan Vecer - 2160349 Convergence analysis of Crank–Nicolson and Rannacher time-marching
by Michael B. Giles, Rebecca Carter - 2160350 Linking caplets and swaptions prices in the LMM-SABR model
by Riccardo Rebonato, Richard White - 2160351 Estimating Greeks in Simulating Lévy-Driven Models
by Paul Glasserman, Zongjian Liu - 2160352 Pricing Energy Derivatives by Linear Programming: Tolling Agreement Contracts
by Valeriy Ryabchenko, Stan Uryasev - 2160353 Variance reduction techniques for pricing American options using function approximations
by Sandeep Juneja, Himanshu Kalra - 2160354 Pricing kth-to-default swaps under default contagion: the matrix analytic approach
by Alexander Herbertsson, Holger Rootzén - 2160355 Partial proxy simulation schemes for generic and robust Monte Carlo Greeks
by Christian P. Fries, Mark S. Joshi - 2160356 Latin hypercube sampling with dependence and applications in finance
by Natalie Packham, Wolfgang M. Schmidt - 2160357 Representing the CGMY and Meixner Lévy processes as time changed Brownian motions
by Dilip B. Madan, Marc Yor - 2160358 A simple discretization scheme for nonnegative diffusion processes with applications to option pricing
by Chantal Labbé, Bruno Rémillard, Jean-François Renaud - 2160359 Pricing and hedging gap risk
by Peter Tankov - 2160360 The decoupling approach to binomial pricing of multi-asset options
by Ralf Korn, Stefanie Müller - 2160361 Exact pricing formulae for caps and swaptions in a Lévy term structure model
by Ernst Eberlein and Wolfgang Kluge - 2160362 Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm
by Johannes Ruf, Matthias Scherer - 2160363 Efficient Pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model
by Rüdiger Kiesel, Matthias Lutz - 2160364 Discrete extrema of Brownian motion and pricing of exotic options
by Colin Atkinson, Gianluca Fusai - 2160365 Unbiased Monte Carlo valuation of lookback, swing and barrier options with continuous monitoring under variance gamma models
by Martin Becker - 2160366 Minimal partial proxy simulation schemes for generic and robust Monte Carlo Greeks
by Jiun Hong Chan, Mark Joshi - 2160367 Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance
by Peter A. Forsyth, George Labahn - 2160368 Correlation matrix with block structure and efficient sampling methods
by Jinggang Huang, Liming Yang - 2160369 Fast Valuation and Calibration of Credit Default Swaps Under Levy Dynamics
by Fang Fang, Henrik Jönsson, Cornelis W. Oosterlee, Wim Schoutens - 2160370 Simple and efficient simulation of the Heston stochastic volatility model
by Leif Andersen - 2160371 Robust optimization of currency portfolios
by Raquel J. Fonseca, Steve Zymler, Wolfram Wiesemann, Berç Rustem - 2160372 Gaussian and Poisson approximation: applications to CDOs tranche pricing
by Nicole El Karoui, Ying Jiao, David Kurtz - 2160373 Strange facts about the marginal distributions of processes based on the Ornstein-Uhlenbeck process
by Ray Brownrigg, Estate Khmaladze - 2160374 Optimal portfolio management in mar taxation
by Cristin Buescu, Michael Taksar - 2160375 Pricing of spread options on stochastically correlated underlyings
by Marcos Escobar, Barbara Götz, Luis Seco, Rudi Zagst - 2160376 Uncertain Volatility Model: A Monte-Carlo Approach
by Julien Guyon, Pierre Henry-Labordère - 2160377 Using Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options
by Mark S. Joshi, Terence S. Leung - 2160378 Computational techniques for basic affine models of portfolio credit risk
by Andreas Eckner - 2160379 Eurodollar futures convexity adjustments in stochastic volatility models
by Vladimir V. Piterbarg, Marco A. Renedo - 2160380 Recursive valuation of Basket Default Swaps
by Ian Iscoe, Alex Kreinin - 2160381 Generalized control variate methods for pricing Asian options
by Chuan-Hsiang Han, Yongzeng Lai - 2160382 Credit migration and basket derivatives pricing with copulas
by Tony Berrada, Debbie Dupuis, Eric Jacquier, Nicolas Papageorgiou, Bruno Rémillard - 2160383 Sampling Student's T distribution – use of the inverse cumulative distribution function
by William T. Shaw - 2160384 Portfolio selection with marginal risk control
by Shushang Zhu, Duan Li, Xiaoling Sun - 2160385 The singular points binominal method for pricing American path-dependent options
by Marcellino Gaudenzi, Antonino Zanette, Maria Antonietta Lepellere - 2160386 Numerical estimation of volatility values from discretely observed diffusion data
by Jakša Cvitanic, Boris Rozovskii, Ilya Zaliapin - 2160387 The condition of the integral representation of American Options
by Pascal Heider - 2160388 Pricing and hedging American-style options: a simple simulation-based approach
by Yang Wang, Russel Caflisch - 2160389 An almost exact simulation method for the Heston model
by Robert D. Smith - 2160390 Pricing convertible bonds with call protection
by Stéphane Crépey, Abdallah Rahal - 2160391 Fourier space time-stepping for option pricing with Lévy models
by Kenneth R. Jackson, Sebastian Jaimungal, Vladimir Surkov - 2160392 A tree-based method to price American options in the Heston model
by Michel Vellekoop, Hans Nieuwenhuis - 2160393 Fast Greeks by algorithmic differentiation
by Luca Capriotti - 2160394 Measuring the error of dynamic hedging: a Laplace transform approach
by Flavio Angelini, Stefano Herzel - 2160395 Multi-asset option pricing using a parallel Fourier-based technique
by C. C. W. Leentvaar, C. W. Oosterlee - 2160396 The relative efficiency of numerical methods for pricing American options under Lévy processes
by Sergei LevendorskiˇÃµ, Oleg Kudryavtsev, Vadim Zherder - 2160397 Pricing timer options
by Carole Bernard, Zhenyu Cui - 2160398 A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
by Jari Toivanen - 2160399 Pricing barrier and average options in a stochastic volatility environment
by Kenichiro Shiraya, Akihiko Takahashi, Masashi Toda - 2160400 Adaptive control variates for pricing multi-dimensional American options
by Samuel M. T. Ehrlichman, Shane G. Henderson - 2160401 An adaptive procedure for estimating coherent risk measures based on generalized scenarios
by Vadim Lesnevski, Barry L. Nelson, Jeremy Staum - 2160402 Wavelet-based bootstrap for pricing path-dependent European options
by Huaguang Feng, Aparna Gupta, Thomas R. Willemain - 2160403 Higher-order saddlepoint approximations in the Vasicek portfolio credit loss model
by Xinzheng Huang, Cornelis W. Oosterlee, Hans van der Weide - 2160404 Pricing credit default swaps under Lévy models
by Jessica Cariboni, Wim Schoutens - 2160405 Robust numerical valuation of European and American options under the CGMY process
by Iris R. Wang, Justin W. L. Wan, Peter A. Forsyth - 2160406 Partially exact and bounded approximations for arithmetic Asian options
by Roger Lord - 2160407 Penalty methods for continuous-time portfolio selection with proportional transaction costs
by Min Dai, Yifei Zhong - 2160408 Robust active portfolio management
by Emre Erdogan, Donald G. Goldfarb, Garud Iyenga - 2160409 Pricing guaranteed return rate products and discretely sampled Asian options
by Peter den Iseger, Emoke Oldenkamp - 2160410 On stiffness in affine asset pricing models
by Shirley J. Huang, Jun Yu - 2160411 Calibrating volatility function bounds for an uncertain volatility model
by Thomas F. Coleman, Changhong He, Yuying Li - 2160412 Markovian projection onto a Heston model
by Alexandre Antonov, Timur Misirpashaev, Vladimir Piterbarg - 2160413 Finite element valuation of swing options
by Martina Wilhelm, Christoph Winter - 2160414 Pricing options on realized variance in the Heston model with jumps in returns and volatility
by Artur Sepp - 2160415 Barrier option pricing for assets with Markov-modulated dividends
by Giuseppe Di Graziano, L. C. G. Rogers - 2160416 Generalizing the Black–Scholes formula to multivariate contingent claims
by René Carmona, Valdo Durrleman - 2160417 A multilevel approach to control variates
by Adam Speight - 2160418 Adaptive and high-order methods for valuing American options
by Christina C. Christara, Duy Minh Dang - 2160419 An empirical comparative analysis of foreign exchange smile calibration procedures
by Dimitri Reiswich - 2160420 Dynamic mean-variance portfolio analysis under model risk
by Daniel Kuhn, Panos Parpas, Berç Rustem, Raquel Fonseca - 2160421 Calibration of local volatility using the local and implied instantaneous variance
by Gabriel Turinici - 2160422 Histogram models for robust portfolio optimization
by Daniel Bienstock - 2160423 Pricing equity default swaps under an approximation to the CGMY Levy model
by Søren Asmussen, Dilip Madan, Martijn Pistorius - 2160424 Failure discrimination by semi-definite programming using a maximal margin ellipsoidal surface
by Yohei Okada, Hiroshi Konno - 2160425 Saddlepoint approximation method for pricing CDOs
by Jingping Yang, T. R. Hurd, Xuping Zhang - 2160426 Measuring marginal risk contributions in credit portfolios
by Paul Glasserman - 2160427 Computing tails of compound distributions using direct numerical integration
by Xiaolin Luo, Pavel V. Shevchenko - 2160428 BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
by Matthias Arnsdorf, Igor Halperin - 2160429 Potential Future Exposure Calculations of Multi-Asset Exotic Products using the Stochastic Mesh Method
by Leslie Ng, Dave Peterson, Andres Eulogio Rodriguez - 2160430 A general dimension reduction technique for derivative pricing
by Junichi Imai, Ken Seng Tan - 2160431 Computing two-factor deltas using unstructured meshes
by Amélie Bélanger, Bruce Simpson - 2160432 Fast and accurate Greeks for the LIBOR Market Model
by Nick Denson, Mark Joshi - 2160433 Approximating the GJR-GARCH and EGARCH option pricing models analytically
by Jin-Chuan Duan, Geneviève Gauthier, Jean-Guy Simonato, Caroline Sasseville - 2160434 Cost-optimal static super-replication of barrier options: an optimization approach
by Alexander Giese, Jan Maruhn - 2160435 A swaption volatility model using Markov regime switching
by Richard White, Riccardo Rebonato - 2160436 Proxy simulation schemes for generic robust Monte Carlo sensitivities, process-oriented importance sampling and high-accuracy drift approximation
by Christian P. Fries, Jörg Kampen - 2160437 Fast simplified approaches to Asian option pricing
by D.Y. Tangman, A. A. I. Peer, N. Rambeerich, M. Bhuruth - 2160438 A behavioural finance-based tick-by-tick model for price and volume
by Garud Iyengar, Alfred Ka Chun Ma - 2160439 Lognormal approximations to Libor market models
by O. Kurbanmuradov, K. Sabelfeld, J. Schoenmakers - 2160440 A semi-analytical method for pricing and hedging continuously sampled arithmetic average rate options
by Jin E. Zhang - 2160441 Static replication of barrier options: some general results
by Leif B. G. Andersen, Jesper Andreasen, David Eliezer - 2160442 Fast valuation of financial derivatives
by J. G. M. Schoenmakers, A. W. Heemink - 2160443 Simple, fast and flexible pricing of Asian options
by Timothy R. Klassen - 2160444 An application of natural resource evaluation using a simulation-dynamic programming approach
by Augusto Castillo-Ramiré - 2160445 American options and the LSM algorithm: quasi-random sequences and Brownian bridges
by Suneal K. Chaudhary - 2160446 Volatility estimation with functional gradient descent for very high-dimensional financial time series
by Francesco Audrino, Peter Bühlmann - 2160447 On the valuation of double-barrier options: computational aspects
by Michael Schröder - 2160448 Extended Libor market models with stochastic volatility
by Leif Andersen, Rupert Brotherton-Ratcliffe - 2160449 A closed-form solution for perpetual American floating strike lookback options
by Min Dai - 2160450 Negative coefficients in two-factor option pricing models
by R. Zvan, P. A. Forsyth, K. R.Vetzal - 2160451 The passport option
by Leif Andersen, Jesper Andreasen, and Rupert Brotherton-Ratcliffe - 2160452 Performance of Dupire's implied diffusion approach under sparse and incomplete data
by Michael L. McIntyre - 2160453 A new PDE approach for pricing arithmetic average Asian options
by Jan Vecer - 2160454 Numerical pricing of discrete barrier and lookback options via Laplace transforms
by Giovanni Petrella and Steven Kou - 2160455 The pricing of multi-asset options using a Fourier grid method
by Bernard Engelmann, Peter Schwendner - 2160456 Pricing near the barrier: the case of discrete knock-out options
by Manfred Steiner and Martin Wallmeier, Reinhold Hafner - 2160457 Risk-neutralized at-the-money consistent historical distributions in currency options pricing
by Nusret Cakici and Kevin R. Foster - 2160458 Finite sample comparison of alternative estimators of Itô diffusion processes: a Monte Carlo study
by George J. Jiang, John L. Knight - 2160459 Analytic derivatives of asymmetric Garch models
by George F. Levy - 2160460 Pricing Asian options via Fourier and Laplace transforms
by Gianluca Fusai - 2160461 The modified willow tree algorithm
by Ulrich G. Haussmann, Liqing Yan - 2160462 Computing hitting time densities for CIR and OU diffusions: applications to mean-reverting models
by Vadim Linetsky - 2160463 Speed and accuracy comparison of bivariate normal distribution approximations for option pricing
by Senay Agca, Don M. Chance - 2160464 A series expansion for the bivariate normal integral
by Oldrich Alfons Vasicek - 2160465 The pricing of floating rate instruments
by Lara Cathcart - 2160466 Technical note: Lognormal swap approximation in the Libor market model and its application
by Koichi Matsumoto - 2160467 An investigation of cheapest-to-deliver on Treasury bond futures contracts
by Simon Benninga, Zvi Wiener - 2160468 Robbins–Monro algorithms and variance reduction in finance
by Bouhari Arouna - 2160469 Exercise boundaries and efficient approximations to American option prices and hedge parameters
by Farid AitSahlia, Tze Leung Lai - 2160470 Fast drift-approximated pricing in the BGM model
by Raoul Pietersz, Antoon Pelsser, Marcel van Regenmortel - 2160471 Discrete Asian barrier options
by R. Zvan and P. A. Forsyth, K. R. Vetzal - 2160472 Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling
by Pavel V. Shevchenko - 2160473 Pricing and hedging more general double-barrier options
by Adam W. Kolkiewicz - 2160474 A tree implementation of a credit spread model for credit derivatives
by Philipp J. Schönbucher - 2160475 American option pricing and exercising with transaction costs
by Valeri I. Zakamouline - 2160476 Pricing American options under variance gamma
by Ali Hirsa, Dilip B. Madan - 2160477 A finite-difference method for the valuation of variance swaps
by Thomas Little, Vijay Pant - 2160478 Semi-analytical pricing of defaultable bonds in a signaling jump-default model
by Lara Cathcart and Lina El-Jahel - 2160479 Efficient pricing of Asian options by the PDE approach
by François Dubois, Tony Lelièvre - 2160480 An analytical approximation for the GARCH option pricing model
by Jin-Chuan Duan, Geneviève Gauthier, Jean-Guy Simonato - 2160481 Approximating American options and other financial contracts using barrier derivatives
by Jonathan E. Ingersoll, Jr. - 2160482 Control of credit risk collateralization using quasi-variational inequalities
by Felipe M. Aparicio, Didier Cossin - 2160483 Analysis of the stability of the linear boundary condition for the Black–Scholes equation
by Heath Windcliff, Peter A. Forsyth, Ken R.Vetzal - 2160484 Control variates for Monte Carlo valuation of American options
by Nicki Søndergaard Rasmussen - 2160485 Optimal portfolio series formula under dynamic appreciation rate uncertainty
by Srdjan D. Stojanovic - 2160486 Accelerating Monte Carlo: quasirandom sequences and variance reduction
by Leonard Berman - 2160487 A canonical optimal stopping problem for American options and its numerical solution
by Farid AitSahlia, Tze Leung Lai - 2160488 A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model
by Leif Andersen - 2160489 Time transformations, intraday data, and volatility models
by Pierre Giot - 2160490 Technical note: Dependence and two-asset options pricing
by Grégory Rapuch, Thierry Roncalli - 2160491 A nonexploding bushy tree technique and its application to the multifactor interest rate market model
by Y. Tang, J. Lange - 2160492 A technique for calibrating derivative security pricing models: numerical solution of an inverse problem
by Ronald Lagnado, Stanley Osher - 2160493 Numerical investigation of early exercise in American puts with discrete dividends
by Gunter H. Meyer - 2160494 Fast at-the-money calibration of the Libor market model using Lagrange multipliers
by Lixin Wu - 2160495 Option valuation using the fast Fourier transform
by Peter Carr, Dilip B. Madan - 2160496 Accurate approximations for European-style Asian options
by Prasad Chalasani and Somesh Jha, Ashok Varikooty - 2160497 Asset price distributions inferred from linear inverse theory
by Peter W. Buchen, Michael F. Kelly - 2160498 Risk-management methods for the Libor market model using semidefinite programming
by Alexandre d’Aspremont - 2160499 Using program synthesis to price derivatives
by Curt Randall, Elaine Kant, Ashvin Chhabra - 2160500 Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods
by Michael C. Fu and Dilip B. Madan, Tong Wang - 2160501 A parity result for American options
by Robert L. McDonald, Mark D. Schroder - 2160502 Fast solutions of complementarity formulations in American put pricing
by Artan Borici, Hans-Jakob Lüthi - 2160503 Fast Fourier transform for discrete Asian options
by Eric Benhamou - 2160504 The reduction of forward rate dependent volatility HJM models to Markovian form: pricing European bond options
by Ramaprasad Bhar, Carl Chiarella, Nadima El-Hassan, and Xiaosu Zheng - 2160505 Pricing discretely monitored barrier options
by Michael A. Sullivan - 2160506 A Bayesian approach for constructing implied volatility surfaces through neural networks
by M. Avellaneda, A. Carelli, F. Stella - 2160507 Cap and swaption approximations in Libor market models with jumps
by Paul Glasserman, Nicolas Merener - 2160508 LIBOR market models in practice
by Jakob Sidenius - 2160509 Pricing and hedging callable Libor exotics in forward Libor models
by Vladimir V. Piterbarg - 2160510 A PDE method for computing moments
by Thomas Little and Vijay Pant - 2160511 Fast and accurate valuation of American barrier options
by Farid AitSahlia, Lorens Imhof, Tze Leung Lai - 2160512 Pricing in three-factor models using icosahedral lattices
by Lynda A. McCarthy, Nick J. Webber - 2160513 Fast and accurate analytical approximation of bond prices when short interest rates are lognormal
by Asbjørn Trolle Hansen, Peter Løchte Jørgensen - 2160514 On the simultaneous calibration of multifactor lognormal interest rate models to Black volatilities and to the correlation matrix
by Riccardo Rebonato - 2160515 Fast greeks by simulation in forward LIBOR models
by Paul Glasserman, Xiaoliang Zhao - 2160516 Valuation of mortgage-backed securities using Brownian bridges to reduce effective dimension
by Russel E. Caflisch, William Morokoff, Art Owen - 2160517 Pricing American options: a comparison of Monte Carlo simulation approaches
by Michael C. Fu, Scott B. Laprise, Dilip B. Madan, Yi Su, and Rongwen Wu - 2160518 Convergence remedies for non-smooth payoffs in option pricing
by David M. Pooley, Kenneth R.Vetzal, Peter A. Forsyth - 2160519 Short time-scale in S&P500 volatility
by Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Solna - 2160520 Pricing of Occupation Time Derivatives: Continuous and Discrete Monitoring
by Gianluca Fusai, Aldo Tagliani - 2160521 Sparse wavelet methods for option pricing under stochastic volatility
by Norbert Hilber, Ana-Maria Matache, Christoph Schwab - 2160522 Risk-sensitive portfolio optimization with transaction costs
by Tomasz R. Bielecki, Jean-Philippe Chancelier, Stanley R. Pliska, Agnès Sulem - 2160523 Arbitrage-free estimation of the risk-neutral density from the implied volatility smile
by Bernhard Brunner, Reinhold Hafner - 2160524 How to solve multiasset Black-Scholes with time-dependent volatility and correlation
by L. P. Bos and A. F. Ware - 2160525 A generalized multinomial method for option pricing in several dimensions
by Thomas Gustafsson and Houari Merabet - 2160526 A stochastic mesh method for pricing high-dimensional American options
by Mark Broadie and Paul Glasserman - 2160527 A new algorithm for constructing implied binomial trees: does the implied model fit any volatility smile?
by Yanmin Li - 2160528 Competitive Monte Carlo methods for the pricing of Asian options
by B. Lapeyre, E. Temam - 2160529 Double barrier options: valuation by path counting
by Jakob Sidenius - 2160530 The pricing of discretely sampled Asian and lookback options: a change of numeraire approach
by Jesper Andreasen - 2160531 Option pricing by transform methods: extensions, unification and error control
by Roger W. Lee - 2160532 The singularity-separating method for two-factor convertible bonds
by You-lan Zhu and Yingjun Sun - 2160533 Pricing moving average barrier options
by J. P. Heritage - 2160534 Option pricing and linear complementarity
by Jacqueline Huang, Jong-Shi Pang - 2160535 Penalty and front-fixing methods for the numerical solution of American option problems
by Bjørn Fredrik Nielsen, Ola Skavhaug and Aslak Tveito - 2160536 The GARCH option pricing model: a lattice approach
by Nusret Cakici, Kudret Topyan - 2160537 Convergence of Monte Carlo simulations involving the mean-reverting square root process
by Desmond J. Higham, Xuerong Mao