arXiv 2017-01-09 EN Property Safety Stock Policy for Correlated Commodities Based on Probability Inequality Shinzato, Takashi
arXiv 2017-01-06 EN Recursive Marginal Quantization of Higher-Order Schemes McWalter, T. A. · Rudd, R. · Kienitz, J. · Platen, E.
arXiv 2017-01-06 EN Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives Chen, Wenting · Du, Kai · Qiu, Xinzi
arXiv 2017-01-03 EN Chebyshev Reduced Basis Function applied to Option Valuation de Frutos, Javier · Gaton, Victor
arXiv 2016-12-30 EN Numerical analysis of an extended structural default model with mutual liabilities and jump risk Kaushansky, Vadim · Lipton, Alexander · Reisinger, Christoph
arXiv 2016-12-22 EN How fast does the clock of Finance run? - A time-definition enforcing scale invariance and quantifying overnights Caraglio, Michele · Baldovin, Fulvio · Stella, Attilio L.
arXiv 2016-12-16 EN Stratified regression-based variance reduction approach for weak approximation schemes Belomestny, Denis · Häfner, Stefan · Urusov, Mikhail
arXiv 2016-12-09 EN Early exercise decision in American options with dividends, stochastic volatility and jumps Cosma, Antonio · Galluccio, Stefano · Pederzoli, Paola · Scaillet, Olivier
arXiv 2016-12-01 EN Reduced Order Models for Pricing European and American Options under Stochastic Volatility and Jump-Diffusion Models Balajewicz, Maciej · Toivanen, Jari
arXiv 2016-11-25 EN Mean-Reverting Portfolio Design via Majorization-Minimization Method Zhao, Ziping · Palomar, Daniel P.
arXiv 2016-11-24 EN Multiple Time Series Ising Model for Financial Market Simulations Takaishi, Tetsuya
arXiv 2016-11-19 EN Interplay between endogenous and exogenous fluctuations in financial markets Gontis, Vygintas
arXiv 2016-11-18 EN Calibration to American Options: Numerical Investigation of the de-Americanization Burkovska, Olena · Gaß, Maximilian · Glau, Kathrin · Mahlstedt, Mirco +2
arXiv 2016-11-02 EN Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo Guo, Ivan · Loeper, Gregoire
arXiv 2016-10-30 EN Numerical study of splitting methods for American option valuation Hout, Karel in 't · Valkov, Radoslav
arXiv 2016-10-28 EN On the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models Arai, Takuji · Imai, Yuto
arXiv 2016-10-10 EN Dependent Defaults and Losses with Factor Copula Models Ackerer, Damien · Vatter, Thibault
