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- 2160538 Krylov subspace reduction and its extensions for option pricing
by Vladimir Druskin and Leonid Knizhnerman & Tanya Tamarchenko & Sergio Kostek - 2160539 An exit-probability-based approach for the valuation of defaultable securities
by Lucia Caramellino & Maria Gabriella Iovino - 2160540 A remark on the pricing of discrete lookback options
by Anders Öhgren - 2160541 Robust numerical methods for PDE models of Asian options
by R. Zvan & P. A. Forsyth & K. R. Vetzal - 2160542 Recovering volatility from option prices by evolutionary optimization
by Sana Ben Hamida & Rama Cont - 2160543 Pricing of interest rate contingent claims: implementing a simulation approach
by Kristian R. Miltersen - 2160544 On the pricing implications of the joint lognormal assumption for the swaption and cap markets
by Riccardo Rebonato - 2160545 Evaluation of compound options using perturbation approximation
by Jean-Pierre Fouque & Chuan-Hsiang Han - 2160546 Hopscotch methods for two-state financial models
by Adam Kurpiel & Thierry Roncalli - 2160547 Comment on: "Computation of deterministic volatility surfaces", by N. Jackson, E. Süli, and S. Howison, Vol. 2(2) (Winter, 1998/99), pp. 5-32
by Mark Rubinstein - 2160548 Pricing Asian and basket options via Taylor expansion
by Nengjiu Ju - 2160549 The Brownian bridge E-M algorithm for covariance estimation with missing data
by William Morokoff - 2160550 Various types of double-barrier options
by Lawrence S. J. Luo - 2160551 Reconstructing the unknown local volatility function
by Thomas F. Coleman & Yuying Li and Arun Verma - 2160552 Convergence of the stochastic mesh estimator for pricing Bermudan options
by Athanassios N. Avramidis & Heinrich Matzinger - 2160553 Computing deltas of callable Libor exotics in forward Libor models
by Vladimir V. Piterbarg - 2160554 Path-dependent option pricing: the path integral partial averaging method
by Andrew Matacz - 2160555 Valuing path-dependent options in the variance-gamma model by Monte Carlo with a gamma bridge
by Claudia Ribeiro & Nick Webber - 2160556 Numerical analysis of Monte Carlo evaluation of Greeks by finite differences
by Grigori N. Milstein & Michael V. Tretyakov - 2160557 LP valuation of exotic American options exploiting structure
by M. A. H. Dempster & J. P. Hutton & D. G. Richards - 2160558 Analytical and Monte Carlo swaption pricing under the forward swap measure
by Atsushi Kawai - 2160559 Efficient option pricing with transaction costs
by Michael Monoyios - 2160560 Numerical inversion of Laplace transforms: a survey of techniques with applications to derivative pricing
by Mark Craddock & David Heath & and Edward Platen - 2160561 A non-Gaussian stochastic volatility model
by Yuichi Nagahara & Genshiro Kitagawa - 2160562 A new integral representation of the early exercise boundary for American put options
by Thomas Little and Vijay Pant & Chunli Hou - 2160563 Valuing moving barrier options
by L. C. G. Rogers & O. Zane - 2160564 Optimal importance sampling in securities pricing
by Yi Su and Michael C. Fu - 2160565 Non-parametric calibration of jump–diffusion option pricing models
by Rama Cont and Peter Tankov - 2160566 Finite sample properties of EMM, GMM, QMLE and MLE for a square-root interest rate diffusion model
by Hao Zhou - 2160567 Structuring, pricing and hedging double-barrier step options
by Dmitry Davydov & Vadim Linetsky - 2160568 Deriving derivatives of derivative securities
by Peter Carr - 2160569 The link between caplet and swaption volatilities in a Brace–Gatarek–Musiela/Jamshidian framework: approximate solutions and empirical evidence
by Peter Jäckel & Riccardo Rebonato - 2160570 Nonparametric estimation of an implied volatility surface
by James N. Bodurtha & Jr. & Martin Jermakyan - 2160571 Computation of deterministic volatility surfaces
by Nicolas Jackson & Endre Süli and Sam Howison - 2160572 Calibration and implementation of convertible bond models
by Leif Andersen & Dan Buffum - 2160573 A mathematical programming with equilibrium constraints approach to the implied volatility surface of American options
by Jacqueline Huang and Jong-Shi Pang - 2160574 Option pricing using the fractional FFT
by Kyriakos Chourdakis - 2160575 The equity option volatility smile: an implicit finite-difference approach
by Leif B. G. Andersen & Rupert Brotherton-Ratcliffe - 2160576 A Newton method for American option pricing
by Thomas F. Coleman & Yuying Li and Arun Verma - 2164194 No-arbitrage SABR
by Paul Doust - 2164199 A bias-reduction technique for Monte Carlo pricing of early-exercise options
by Tyson Whitehead & R. Mark Reesor and Matt Davison - 2164203 Fast pricing and calculation of sensitivities of out-of-the-money European options under Lévy processes
by Sergei Levendorskii and Jiayao Xie - 2164204 Pricing credit derivatives using an asymptotic expansion approach
by Yoshifumi Muroi - 2180292 Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
by Antonis Papapantoleon & John Schoenmakers and David Skovmand - 2180294 An equity–interest rate hybrid model with stochastic volatility and the interest rate smile
by Lech A. Grzelak and Cornelis W. Oosterlee - 2180298 Calibration and Monte Carlo pricing of the SABR–Hull–White model for long-maturity equity derivatives
by Bin Chen & Lech A. Grzelak and Cornelis W. Oosterlee - 2180301 Numerical valuation of basket credit derivatives in structural jump-diffusion models
by Karolina Bujok & Christoph Reisinger - 2180304 Sato two-factor models for multivariate option pricing
by Florence Guillaume - 2197353 Applications of periodic and quasiperiodic decompositions to options pricing
by Dominique Bang - 2197354 Proper orthogonal decomposition for pricing options
by Olivier Pironneau - 2197355 Transform analysis and asset pricing for diffusion processes: a recursvie approach
by Marc J. Goovaerts & Roger J. A. Laeven and Zhaoning Shang - 2197357 Alternating direction implicit finite difference schemes for the Heston-Hull-White partial differential equation
by Tinne Haentjens and Karel J. In 't Hout - 2197358 Pricing pension plans based on average salary without early retirement: partial differential equation modeling and numerical solution
by Maria del Carmen Calvo-Garrido and Carlos Vazquez - 2219902 Estimating multiple option Greeks simultaneously using random parameter regression
by Haifeng Fu & Xing Jin & Guangming Pan and Yanrong Yang - 2219905 A variance reduction technique using a quantized Brownian motion as a control variate
by Antoine Lejay and Victor Reutenauer - 2219910 Pricing options on realized variance in the Heston model with jumps in returns and volatility Part II. An approximate distribution of discrete variance
by Artur Sepp - 2219916 Dual quantization for random walks with application to credit derivatives
by Gilles Pagès and Benedikt Wilbertz - 2253211 Numerical methods for an optimal order execution problem
by Fabien Guilbaud & Mohamed Mnif and Huyen Pham - 2253218 Pricing synthetic collateralized debt obligations based on exponential approximations to the payoff function
by Ian Iscoe & Ken Jackson & Alex Kreinin and Xiofang Ma - 2253221 Pricing high-dimensional Bermudan options using variance-reduced Monte Carlo methods
by Peter Hepperger - 2253223 Fast and accurate long-stepping simulation of the Heston stochastic volatility model
by Jiun Hong Chan and Mark Joshi - 2275475 An application to credit risk of a hybrid Monte Carlo–optimal quantization method
by Giorgia Callegaro and Abass Sagna - 2275478 An efficient pricing algorithm for swing options based on Fourier cosine expansions
by B. Zhang and C. W. Oosterlee - 2275482 Optimal execution under jump models for uncertain price impact
by Somayeh Moazeni & Thomas F. Coleman and Yuying Li - 2275487 Tracking value-at-risk through derivative prices
by Simon I. Hill - 2292310 A multifactor bottom-up model for pricing credit derivatives
by Lung Kwan Tsui - 2292313 A Monte Carlo pricing algorithm for autocallables that allows for stable differentiation
by Thomas Alm & Bastian Harrach & Daphne Harrach and Marco Keller - 2292319 The evaluation of American compound option prices under stochastic volatility and stochastic interest rates
by Carl Chiarella and Boda Kang - 2292328 An n-dimensional Markov-functional interest rate model
by Linus Kaisajuntti and Joanne Kennedy - 2309289 High-order discretization schemes for stochastic volatility models
by Benjamin Jourdain and Mohamed Sbai - 2309291 Variance–optimal hedging for discrete-time processes with independent increments: application to electricity markets
by Stephane Goutte & Nadia Oudjane and Francesco Russo - 2309308 Exact simulation pricing with Gamma processes and their extensions
by Lancelot F. James & Dohyun Kim and Zhiyuan Zhang - 2309311 Simulation of Lévy processes and option pricing
by El Hadj Aly Dia - 2330315 Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model
by Ralf Korn and Qian Liang - 2330321 TR-BDF2 for fast stable American option pricing
by Fabien Le Floc’h - 2330324 Monte Carlo pricing in the Schöbel–Zhu model and its extensions
by Alexander van Haastrecht & Roger Lord and Antoon Pelsser - 2330328 Quadratic finite element and preconditioning methods for options pricing in the SVCJ model
by Ying-Ying Zhang & Hong-Kui Pang & Liming Feng and Xiao-Qing Jin - 2347657 Robust calibration of financial models using Bayesian estimators
by Alok Gupta & Christoph Reisinger - 2347669 Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation
by Luis Ortiz-Gracia and Josep J. Masdemont - 2347676 Adjoint algorithmic differentiation: calibration and implicit function theorem
by Marc Henrard - 2347959 Optimizing the Omega ratio using linear programming
by Michalis Kapsos & Steve Zymler & Nicos Christofides and Berç Rustem - 2364549 Numerical algorithms for research and development stochastic control models
by Chi Man Leung and Yue Kuen Kwok - 2364551 Counterparty credit risk pricing and measurement of swaption portfolios
by Matt Thompson - 2364554 Value function approximation or stopping time approximation: a comparison of two recent numerical methods for American option pricing using simulation and regression
by Lars Stentoft - 2364558 Pricing American-style options by Monte Carlo simulation: alternatives to ordinary least squares
by Stathis Tompaidis and ChunyuYang - 2386128 Fourier transform algorithms for pricing and hedging discretely sampled exotic variance products and volatility derivatives under additive processes
by Wendong Zheng and Yue Kuen Kwok - 2386135 Efficient variations of the Fourier transform in applications to option pricing
by Svetlana Boyarchenko and Sergei Levendorski˘ı - 2386140 Application of the improved fast Gauss transform to option pricing under jump-diffusion processes
by Takayuki Sakuma and Yuji Yamada - 2386142 Option calibration of exponential Lévy models: confidence intervals and empirical results
by Jakob Söhl and Mathias Trabs - 2396362 A chaos expansion approach for the pricing of contingent claims
by Hideharu Funahashi and Masaaki Kijima - 2397220 An efficient Monte Carlo method for discrete variance contracts
by Nicolas Merener and Leonardo Vicchi - 2399882 The density of distributions from the Bondesson class
by German Bernhart & Jan-Frederik Mai & Steffen Schenk and Matthias Scherer - 2400390 Multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model
by Leslie Ng - 2400404 Corrigendum
by Ralf Korn and Qian Liang - 2406534 The damped Crank–Nicolson time-marching scheme for the adaptive solution of the Black–Scholes equation
by Christian Goll & Rolf Rannacher and Winnifried Wollner - 2407056 An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivatives
by Duy-Minh Dang & Christina C. Christara & Kenneth R. Jackson and Asif Lakhany - 2407058 A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
by Radha Krishn Coonjobeharry & Désiré Yannick Tangman and Muddun Bhuruth - 2410444 Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
by Christoph Reisinger & Rasmus Wissmann - 2419577 A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
by Riccardo Rebonato - 2419833 A novel Fourier transform B-spline method for option pricing
by Gareth G. Haslip and Vladimir K. Kaishev - 2419841 On the application of spectral filters in a Fourier option pricing technique
by M. J. Ruijter & M. Versteegh and C.W. Oosterlee - 2419843 A robust set-valued scenario approach for handling modeling risk in portfolio optimization
by Shushang Zhu & Xiaodong Ji and Duan Li - 2432431 Optimal investment: bounds and heuristics
by L. C. G. Rogers and P. Zaczkowski - 2432443 Numerical methods for the quadratic hedging problem in Markov models with jumps
by Carmine De Franco & Peter Tankov & Xavier Warin - 2432446 SLADI: a semi-Lagrangian alternating-direction implicit method for the numerical solution of advection–diffusion problems with application to electricity storage valuations
by Javier Hernández à valos & Paul V. Johnson & Peter W. Duck - 2432447 Importance sampling for jump processes and applications to finance
by Laetitia Badouraly Kassim & Jérôme Lelong & Imane Loumrhari - 2439189 Updating the option implied probability of default methodology
by Johannes Vilsmeier - 2439194 The efficient application of automatic differentiation for computing gradients in financial applications
by Wei Xu & Xi Chen & Thomas F. Coleman - 2440737 B-spline techniques for volatility modeling
by Sylvain Corlay - 2442247 Efficient solution of backward jump-diffusion partial integro-differential equations with splitting and matrix exponentials
by Andrey Itkin - 2447083 Stratified approximations for the pricing of options on average
by Nicolas Privault & Jiadong Yu - 2447110 A new improvement scheme for approximation methods of probability density functions
by Akihiko Takahashi & Yukihiro Tsuzuki - 2447114 Accelerated trinomial trees applied to American basket options and American options under the Bates model
by Conall O’Sullivan & Stephen O’Sullivan - 2447117 Wiener chaos expansion and numerical solutions of the Heath–Jarrow–Morton interest rate model
by Nikolaos Thomaidis & Evangelia A. Kalpinelli & Athanasios N. Yannacopoulos - 2457205 Extended saddlepoint methods for credit risk measurement
by Rubén GarcÃa-Céspedes & Manuel Moreno - 2457210 Valuation of options on discretely sampled variance: a general analytic approximation
by Gabriel Drimus & Walter Farkas & Elise Gourier - 2457245 Transform-based evaluation of prices and Greeks of lookback options driven by Lévy processes
by Naser M. Asghari & Michel Mandjes - 2457265 Faster comparison of stopping times by nested conditional Monte Carlo
by Fabian Dickmann & Nikolaus Schweizer - 2463775 From arbitrage to arbitrage-free implied volatilities
by Cornelis W. Oosterlee & Lech A. Grzelak - 2464610 Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
by Cornelis W. Oosterlee & Qian Feng & Shashi Jain & Patrik Karlsson & Drona Kandhai - 2464618 An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
by Dan Zhu & Mark S. Joshi - 2464624 Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets
by Peter Carr & Ajay Khanna and Dilip B. Madan - 2464632 High-performance American option pricing
by Leif Andersen & Mark Lake & Dimitri Offengenden - 2464637 Numerical solution of the Hamilton–Jacobi–Bellman formulation for continuous-time mean–variance asset allocation under stochastic volatility
by K Ma & P. A. Forsyth - 2464716 Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach
by M. C. Calvo-Garrido & M. Ehrhardt & C. Vázquez - 2465049 A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston–Cox–Ingersoll–Ross model
by Andrei Cozma & Christoph Reisinger - 2465429 Finite difference techniques for arbitrage-free SABR
by Fabien Le Floc’h & Gary Kennedy - 2465433 The forward smile in local–stochastic volatility models
by Andrea Pascucci & Andrea Mazzon - 2466035 Efficient estimation of sensitivities for counterparty credit risk with the finite difference Monte Carlo method
by Cornelis S. L. de Graaf & Drona Kandhai & Peter M. A. Sloot - 2471206 The probability of backtest overfitting
by David H. Bailey & Jonathan M. Borwein & Marcos López de Prado & Qiji Jim Zhu - 2471841 A reduced basis method for parabolic partial differential equations with parameter functions and application to option pricing
by Antonia Mayerhofer & Karsten Urban - 2472041 Valuation of barrier options using sequential Monte Carlo
by Pavel V Shevchenko & Pierre Del Moral - 2472046 An efficient convergent lattice method for Asian option pricing with superlinear complexity
by Ling Lu & Wei Xu & Zhehui Qian - 2476685 Calibration of local correlation models to basket smiles
by Julien Guyon - 2478737 Error analysis in Fourier methods for option pricing
by Fabián Crocce & Juho Häppölä & Jonas Kiessling & Raul Tempone - 2478931 Smile with the Gaussian term structure model
by Abdelkoddousse Ahdida & Aurélien Alfonsi & Ernesto Palidda - 3945866 Efficient pricing and super-replication of corridor variance swaps and related products
by Christoph Burgard & Olaf Torné - 3946026 Investment opportunities forecasting: a genetic programming-based dynamic portfolio trading system under a directional-change framework
by Monira Essa Aloud - 5315456 A new nonlinear partial differential equation in finance and a method of its solution
by Andrey Itkin - 5315521 Local variance gamma revisited
by Markus Falck & Mikhail Deryabin - 5315561 Local volatility models in commodity markets and online calibration
by Vinicius Albani & Uri M. Ascher & Jorge P Zubelli - 5315576 A nonparametric local volatility model for swaptions smile
by Dariusz Gątarek & Juliusz Jabłecki - 5316511 Efficient valuation of equity-indexed annuities under Lévy processes using Fourier cosine series
by Geng Deng & Tim Dulaney & Craig McCann & Mike Yan - 5316546 A generalized risk budgeting approach to portfolio construction
by Martin Haugh & Garud Iyengar & Irene Song - 5316576 Robust option pricing with characteristic functions and the B-spline order of density projection
by J. Lars Kirkby - 5316591 European option pricing under geometric Lévy processes with proportional transaction costs
by Haipeng Xing & Yang Yu & Tiong Wee Lim - 5363776 A hybrid tree/finite-difference approach for Heston–Hull–White-type models
by Maya Briani & Lucia Caramellino & Antonino Zanette - 5363811 Cumulative prospect theory and mean–variance analysis: a rigorous comparison
by Thorsten Hens & János Mayer - 5363836 Volatility risk structure for options depending on extrema
by Tomonori Nakatsu - 5363961 Pricing multidimensional financial derivatives with stochastic volatilities using the dimensional-adaptive combination technique
by Janos Benk & Dirk Pflüger - 5399911 Adjoint algorithmic differentiation tool support for typical numerical patterns in computational finance
by Uwe Naumann & Jacques du Toit - 5399916 Monte Carlo payoff smoothing for pricing autocallable instruments
by Frank Koster & Achim Rehmet - 5529736 Pricing multivariate barrier reverse convertibles with factor-based subordinators
by Marina Marena & Andrea Romeo & Patrizia Semeraro - 5529741 Hybrid finite-difference/pseudospectral methods for the Heston and Heston–Hull–White partial differential equations
by Christian Hendricks & Matthias Ehrhardt & Michael Günther - 5606611 Importance sampling applied to Greeks for jump–diffusion models with stochastic volatility
by Sergio De Diego & Eva Ferreira & Eulà lia Nualart - 5712651 Importance sampling for jump–diffusions via cross-entropy
by Rebecca Rieke & Weifeng Sun & Hui Wang - 5712756 Kriging metamodels and experimental design for Bermudan option pricing
by Mike Ludkovski - 5902176 Bermudan swaption model risk analysis: a local volatility approach
by Juliusz Jabłecki - 5940496 Vibrato and automatic differentiation for high-order derivatives and sensitivities of financial options
by Gilles Pagès & Olivier Pironneau & Guillaume Sall - 5940526 Polynomial upper and lower bounds for financial derivative price functions under regime-switching
by Louis Bhim & Reiichiro Kawai - 6063376 Dilated convolutional neural networks for time series forecasting
by Anastasia Borovykh & Sander Bohte & Cornelis W. Oosterlee - 6159231 Hedging of options in the presence of jump clustering
by Donatien Hainaut & Franck Moraux - 6165596 Portfolio optimization for American options
by Yaxiong Zeng & Diego Klabjan - 6226901 An adaptive Filon quadrature for stochastic volatility models
by Fabien Le Floc’h - 6226906 American and exotic option pricing with jump diffusions and other Lévy processes
by J. Lars Kirkby - 6306041 A pairwise local correlation model
by Frank Koster & Daniel Oeltz - 6310441 Fast stochastic forward sensitivities in Monte Carlo simulations using stochastic automatic differentiation (with applications to initial margin valuation adjustments)
by Christian Fries - 6310446 ε-monotone Fourier methods for optimal stochastic control in finance
by Peter A. Forsyth & George Labahn - 6485736 Ensemble models in forecasting financial markets
by Andreas Karathanasopoulos & Mitra Sovan & Chia Chun Lo & Adam Zaremba & Mohammed Osman - 6495066 Yield curve fitting with artificial intelligence: a comparison of standard fitting methods with artificial intelligence algorithms
by Achim Posthaus - 6555351 The extended SSVI volatility surface
by Sebas Hendriks & Claude Martini - 6569771 Efficient conservative second-order central-upwind schemes for option-pricing problems
by Omishwary Bhatoo & Arshad Ahmud Iqbal Peer & Eitan Tadmor & Désiré Yannick Tangman & Aslam Aly El Faidal Saib - 6587941 Calculate tail quantiles of compound distributions
by Azamat Abdymomunov & Filippo Curti & Hayden Kane - 6627881 A new approach to the quantification of model risk for practitioners
by Zuzana KrajÄ oviÄ ová & Pedro Pablo Pérez-Velasco & Carlos Vázquez - 6667226 Application of the Heath–Platen estimator in the Fong–Vasicek short rate model
by Sema Coskun & Ralf Korn & Sascha Desmettre - 6685901 Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method
by Rongju Zhang & Nicolas Langrené & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza - 6775421 Complexity reduction for calibration to American options
by Olena Burkovska & Kathrin Glau & Mirco Mahlstedt & Barbara Wohlmuth - 6775501 Path-dependent American options
by Etienne Chevalier & Vathana Ly Vath & Mohamed Mnif - 6903411 The two-dimensional tree–grid method
by Igor Kossaczký & Matthias Ehrhardt & Michael Günther - 6969636 Path independence of exotic options and convergence of binomial approximations
by Guillaume Leduc & Kenneth J. Palmer - 6969676 The standard market risk model of the Swiss solvency test: an analytic solution
by Andras Niedermayer - 7100526 Variance optimal hedging with application to electricity markets
by Xavier Warin - 7243871 One-dimensional Markov-functional models driven by a non-Gaussian driver
by Jaka Gogala & Joanne Kennedy - 7243911 The Chebyshev method for the implied volatility
by Kathrin Glau & Paul Herold & Dilip B. Madan & Christian Pötz - 7370406 Pricing American call options using the Black–Scholes equation with a nonlinear volatility function
by Maria do Rosário Grossinho & Yaser Faghan Kord & Daniel Å evÄ oviÄ - 7370901 A shrinking horizon optimal liquidation framework with lower partial moments criteria
by Hassan Anis & Roy H. Kwon - 7398296 Second-order Monte Carlo sensitivities in linear or constant time
by Roberto Daluiso - 7398376 Extremal risk management: expected shortfall value verification using the bootstrap method
by Marta Malecka - 7533936 An adaptive Monte Carlo approach for pricing Parisian options with general boundaries
by Sercan Gűr - 7533951 Option pricing in exponential Lévy models with transaction costs
by Nicola Cantarutti & Manuel Guerra & João Guerra & Maria do Rosário Grossinho - 7533966 Monte Carlo pathwise sensitivities for barrier options
by Thomas Gerstner & Bastian Harrach & Daniel Roth - 7533976 Numerical simulation and applications of the convection–diffusion–reaction equation with the radial basis function in a finite-difference mode
by Reza Mollapourasl & Majid Haghi & Alfa Heryudono - 7568796 High-order approximations to call option prices in the Heston model
by Archil Gulisashvili & Marc Lagunas-Merino & Raúl Merino & Josep Vives - 7649036 Dynamic refinement of the term structure: time-homogeneous term structure modeling
by Christian Fries - 7656071 Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations
by Stéphane Crépey & Matthew F. Dixon - 7659611 Neural networks for option pricing and hedging: a literature review
by Johannes Ruf & Weiguan Wang - 7706866 On extensions of the Barone-Adesi and Whaley method to price American-type options
by Ludovic Mathys - 7714001 Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach
by Jérôme Lelong