IDEAS home Printed from https://ideas.repec.org/e/c/poo16.html
   My authors  Follow this author

Cornelis W. Oosterlee

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2022. "Relevance of Wrong-Way Risk in Funding Valuation Adjustments," Papers 2204.02680, arXiv.org, revised Jun 2022.

    Cited by:

    1. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2022. "Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments," Papers 2209.12222, arXiv.org, revised Mar 2023.

  2. Boris C. Boonstra & Cornelis W. Oosterlee, 2021. "Valuation of electricity storage contracts using the COS method," Papers 2101.02917, arXiv.org.

    Cited by:

    1. Fei Gao & Shuaiqiang Liu & Cornelis W. Oosterlee & Nico M. Temme, 2022. "Solution of integrals with fractional Brownian motion for different Hurst indices," Papers 2203.02323, arXiv.org, revised Mar 2022.

  3. Jorino van Rhijn & Cornelis W. Oosterlee & Lech A. Grzelak & Shuaiqiang Liu, 2021. "Monte Carlo Simulation of SDEs using GANs," Papers 2104.01437, arXiv.org.

    Cited by:

    1. Beatrice Acciaio & Anastasis Kratsios & Gudmund Pammer, 2022. "Designing Universal Causal Deep Learning Models: The Geometric (Hyper)Transformer," Papers 2201.13094, arXiv.org, revised Mar 2023.
    2. Magnus Wiese & Ben Wood & Alexandre Pachoud & Ralf Korn & Hans Buehler & Phillip Murray & Lianjun Bai, 2021. "Multi-Asset Spot and Option Market Simulation," Papers 2112.06823, arXiv.org.

  4. Kristoffer Andersson & Cornelis Oosterlee, 2020. "A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options," Papers 2003.01977, arXiv.org, revised Sep 2020.

    Cited by:

    1. Kristoffer Andersson & Cornelis W. Oosterlee, 2020. "Deep learning for CVA computations of large portfolios of financial derivatives," Papers 2010.13843, arXiv.org.
    2. Ghimire, Sujan & Deo, Ravinesh C. & Casillas-Pérez, David & Salcedo-Sanz, Sancho, 2022. "Boosting solar radiation predictions with global climate models, observational predictors and hybrid deep-machine learning algorithms," Applied Energy, Elsevier, vol. 316(C).
    3. Kentaro Hoshisashi & Yuji Yamada, 2023. "Pricing Multi-Asset Bermudan Commodity Options with Stochastic Volatility Using Neural Networks," JRFM, MDPI, vol. 16(3), pages 1-23, March.
    4. Purba Banerjee & Vasudeva Murthy & Shashi Jain, 2024. "Method of Lines for Valuation and Sensitivities of Bermudan Options," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 245-270, January.
    5. Glau, Kathrin & Wunderlich, Linus, 2022. "The deep parametric PDE method and applications to option pricing," Applied Mathematics and Computation, Elsevier, vol. 432(C).
    6. Jori Hoencamp & Shashi Jain & Drona Kandhai, 2023. "A Semi-Static Replication Method for Bermudan Swaptions under an Affine Multi-Factor Model," Risks, MDPI, vol. 11(10), pages 1-41, September.
    7. Purba Banerjee & Vasudeva Murthy & Shashi Jain, 2021. "Method of lines for valuation and sensitivities of Bermudan options," Papers 2112.01287, arXiv.org.

  5. Shuaiqiang Liu & Lech A. Grzelak & Cornelis W. Oosterlee, 2020. "The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations," Papers 2009.03202, arXiv.org, revised Sep 2021.

    Cited by:

    1. Leonardo Perotti & Lech A. Grzelak, 2022. "On Pricing of Discrete Asian and Lookback Options under the Heston Model," Papers 2211.03638, arXiv.org, revised Feb 2024.
    2. Grzelak, Lech A., 2022. "Sparse grid method for highly efficient computation of exposures for xVA," Applied Mathematics and Computation, Elsevier, vol. 434(C).
    3. Lech A. Grzelak, 2021. "Sparse Grid Method for Highly Efficient Computation of Exposures for xVA," Papers 2104.14319, arXiv.org, revised May 2022.

  6. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2020. "A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting," Papers 2005.10504, arXiv.org, revised Sep 2020.

    Cited by:

    1. van der Zwaard, Thomas & Grzelak, Lech A. & Oosterlee, Cornelis W., 2022. "Relevance of Wrong-Way Risk in Funding Valuation Adjustments," Finance Research Letters, Elsevier, vol. 49(C).
    2. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2022. "Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments," Papers 2209.12222, arXiv.org, revised Mar 2023.
    3. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2022. "Relevance of Wrong-Way Risk in Funding Valuation Adjustments," Papers 2204.02680, arXiv.org, revised Jun 2022.

  7. Shuaiqiang Liu & 'Alvaro Leitao & Anastasia Borovykh & Cornelis W. Oosterlee, 2020. "On Calibration Neural Networks for extracting implied information from American options," Papers 2001.11786, arXiv.org.

    Cited by:

    1. Beatriz Salvador & Cornelis W. Oosterlee & Remco van der Meer, 2020. "Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks," Mathematics, MDPI, vol. 9(1), pages 1-20, December.

  8. Kristoffer Andersson & Cornelis W. Oosterlee, 2020. "Deep learning for CVA computations of large portfolios of financial derivatives," Papers 2010.13843, arXiv.org.

    Cited by:

    1. Glau, Kathrin & Wunderlich, Linus, 2022. "The deep parametric PDE method and applications to option pricing," Applied Mathematics and Computation, Elsevier, vol. 432(C).
    2. Stefano Ferretti, 2023. "On the Modeling and Simulation of Portfolio Allocation Schemes: an Approach Based on Network Community Detection," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 969-1005, October.

  9. Shuaiqiang Liu & Anastasia Borovykh & Lech A. Grzelak & Cornelis W. Oosterlee, 2019. "A neural network-based framework for financial model calibration," Papers 1904.10523, arXiv.org.

    Cited by:

    1. Sarit Maitra & Vivek Mishra & Goutam Kr. Kundu & Kapil Arora, 2023. "Integration of Fractional Order Black-Scholes Merton with Neural Network," Papers 2310.04464, arXiv.org, revised Oct 2023.
    2. Hervé Andres & Pierre-Edouard Arrouy & Paul Bonnefoy & Alexandre Boumezoued & Sophian Mehalla, 2020. "Fast calibration of the LIBOR Market Model with Stochastic Volatility based on analytical gradient," Working Papers hal-02875623, HAL.
    3. Jiří Witzany & Milan Fičura, 2023. "Machine Learning Applications to Valuation of Options on Non-liquid Markets," FFA Working Papers 5.001, Prague University of Economics and Business, revised 24 Jan 2023.
    4. Edson Pindza & Jules Clement Mba & Sutene Mwambi & Nneka Umeorah, 2023. "Neural Network for valuing Bitcoin options under jump-diffusion and market sentiment model," Papers 2310.09622, arXiv.org.
    5. Kentaro Hoshisashi & Carolyn E. Phelan & Paolo Barucca, 2023. "No-Arbitrage Deep Calibration for Volatility Smile and Skewness," Papers 2310.16703, arXiv.org, revised Jan 2024.
    6. Ballotta, Laura & Rayée, Grégory, 2022. "Smiles & smirks: Volatility and leverage by jumps," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1145-1161.
    7. Miriam Sosa & Christian Bucio & Edgar Ortiz Calisto, 2022. "Dynamic Stock Dependence and Monetary Variables in the United States (2000- 2016) - A Copula and Neural Network Approach," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 96, pages 201-234, January-J.
    8. Andrew Na & Meixin Zhang & Justin Wan, 2023. "Computing Volatility Surfaces using Generative Adversarial Networks with Minimal Arbitrage Violations," Papers 2304.13128, arXiv.org, revised Dec 2023.
    9. Blanka Horvath & Josef Teichmann & Žan Žurič, 2021. "Deep Hedging under Rough Volatility," Risks, MDPI, vol. 9(7), pages 1-20, July.
    10. Patrick Büchel & Michael Kratochwil & Maximilian Nagl & Daniel Rösch, 2022. "Deep calibration of financial models: turning theory into practice," Review of Derivatives Research, Springer, vol. 25(2), pages 109-136, July.
    11. Johannes Ruf & Weiguan Wang, 2019. "Neural networks for option pricing and hedging: a literature review," Papers 1911.05620, arXiv.org, revised May 2020.
    12. Blanka Horvath & Josef Teichmann & Zan Zuric, 2021. "Deep Hedging under Rough Volatility," Papers 2102.01962, arXiv.org.
    13. Junike, Gero & Pankrashkin, Konstantin, 2022. "Precise option pricing by the COS method—How to choose the truncation range," Applied Mathematics and Computation, Elsevier, vol. 421(C).
    14. Polyzos, Stathis & Samitas, Aristeidis & Katsaiti, Marina-Selini, 2020. "Who is unhappy for Brexit? A machine-learning, agent-based study on financial instability," International Review of Financial Analysis, Elsevier, vol. 72(C).
    15. Ali Hirsa & Weilong Fu, 2020. "An unsupervised deep learning approach in solving partial integro-differential equations," Papers 2006.15012, arXiv.org, revised Dec 2020.
    16. Glau, Kathrin & Wunderlich, Linus, 2022. "The deep parametric PDE method and applications to option pricing," Applied Mathematics and Computation, Elsevier, vol. 432(C).
    17. Weilong Fu & Ali Hirsa, 2022. "Solving barrier options under stochastic volatility using deep learning," Papers 2207.00524, arXiv.org.
    18. Jaydip Sen & Rajdeep Sen & Abhishek Dutta, 2021. "Machine Learning in Finance-Emerging Trends and Challenges," Papers 2110.11999, arXiv.org.
    19. Marc Sabate-Vidales & David v{S}iv{s}ka & Lukasz Szpruch, 2020. "Solving path dependent PDEs with LSTM networks and path signatures," Papers 2011.10630, arXiv.org.
    20. Shuaiqiang Liu & 'Alvaro Leitao & Anastasia Borovykh & Cornelis W. Oosterlee, 2020. "On Calibration Neural Networks for extracting implied information from American options," Papers 2001.11786, arXiv.org.
    21. Christian Bayer & Blanka Horvath & Aitor Muguruza & Benjamin Stemper & Mehdi Tomas, 2019. "On deep calibration of (rough) stochastic volatility models," Papers 1908.08806, arXiv.org.
    22. Patryk Gierjatowicz & Marc Sabate-Vidales & David v{S}iv{s}ka & Lukasz Szpruch & v{Z}an v{Z}uriv{c}, 2020. "Robust pricing and hedging via neural SDEs," Papers 2007.04154, arXiv.org.
    23. Gero Junike & Konstantin Pankrashkin, 2021. "Precise option pricing by the COS method--How to choose the truncation range," Papers 2109.01030, arXiv.org, revised Jan 2022.
    24. Fabio Baschetti & Giacomo Bormetti & Pietro Rossi, 2023. "Deep calibration with random grids," Papers 2306.11061, arXiv.org, revised Jan 2024.
    25. Jay Cao & Jacky Chen & John Hull & Zissis Poulos, 2021. "Deep Learning for Exotic Option Valuation," Papers 2103.12551, arXiv.org, revised Sep 2021.
    26. Herv'e Andres & Pierre-Edouard Arrouy & Paul Bonnefoy & Alexandre Boumezoued & Sophian Mehalla, 2020. "Fast calibration of the LIBOR Market Model with Stochastic Volatility based on analytical gradient," Papers 2006.13521, arXiv.org.

  10. Anastasia Borovykh & Andrea Pascucci & Cornelis W. Oosterlee, 2019. "Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models," Papers 1905.01706, arXiv.org.

    Cited by:

    1. Ludovic Gouden`ege & Andrea Molent & Antonino Zanette, 2018. "Computing Credit Valuation Adjustment solving coupled PIDEs in the Bates model," Papers 1809.05328, arXiv.org.

  11. Shuaiqiang Liu & Cornelis W. Oosterlee & Sander M. Bohte, 2019. "Pricing options and computing implied volatilities using neural networks," Papers 1901.08943, arXiv.org, revised Apr 2019.

    Cited by:

    1. Sarit Maitra & Vivek Mishra & Goutam Kr. Kundu & Kapil Arora, 2023. "Integration of Fractional Order Black-Scholes Merton with Neural Network," Papers 2310.04464, arXiv.org, revised Oct 2023.
    2. Timothy DeLise, 2021. "Neural Options Pricing," Papers 2105.13320, arXiv.org.
    3. Ashley Davey & Harry Zheng, 2020. "Deep Learning for Constrained Utility Maximisation," Papers 2008.11757, arXiv.org, revised Aug 2021.
    4. Roman V. Ivanov, 2023. "On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model," Risks, MDPI, vol. 11(6), pages 1-23, June.
    5. Noshaba Zulfiqar & Saqib Gulzar, 2021. "Implied volatility estimation of bitcoin options and the stylized facts of option pricing," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-30, December.
    6. Geon Lee & Tae-Kyoung Kim & Hyun-Gyoon Kim & Jeonggyu Huh, 2022. "Newton–Raphson Emulation Network for Highly Efficient Computation of Numerous Implied Volatilities," JRFM, MDPI, vol. 15(12), pages 1-8, December.
    7. Raquel M. Gaspar & Sara D. Lopes & Bernardo Sequeira, 2020. "Neural Network pricing of American put options," Working Papers REM 2020/0122, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    8. Vincenzo Candila & Lucio Palazzo, 2020. "Neural Networks and Betting Strategies for Tennis," Risks, MDPI, vol. 8(3), pages 1-19, June.
    9. Ballotta, Laura & Rayée, Grégory, 2022. "Smiles & smirks: Volatility and leverage by jumps," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1145-1161.
    10. Beatriz Salvador & Cornelis W. Oosterlee & Remco van der Meer, 2020. "Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks," Mathematics, MDPI, vol. 9(1), pages 1-20, December.
    11. Laura Leal & Mathieu Lauri`ere & Charles-Albert Lehalle, 2020. "Learning a functional control for high-frequency finance," Papers 2006.09611, arXiv.org, revised Feb 2021.
    12. Patrick Büchel & Michael Kratochwil & Maximilian Nagl & Daniel Rösch, 2022. "Deep calibration of financial models: turning theory into practice," Review of Derivatives Research, Springer, vol. 25(2), pages 109-136, July.
    13. Nikita Medvedev & Zhiguang Wang, 2022. "Multistep forecast of the implied volatility surface using deep learning," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 645-667, April.
    14. Giacomo Morelli & Lea Petrella, 2021. "Option Pricing, Zero Lower Bound, and COVID-19," Risks, MDPI, vol. 9(9), pages 1-13, September.
    15. Junike, Gero & Pankrashkin, Konstantin, 2022. "Precise option pricing by the COS method—How to choose the truncation range," Applied Mathematics and Computation, Elsevier, vol. 421(C).
    16. Michele Mininni & Giuseppe Orlando & Giovanni Taglialatela, 2021. "Challenges in approximating the Black and Scholes call formula with hyperbolic tangents," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 73-100, June.
    17. Sangseop Lim & Chang-hee Lee & Won-Ju Lee & Junghwan Choi & Dongho Jung & Younghun Jeon, 2022. "Valuation of the Extension Option in Time Charter Contracts in the LNG Market," Energies, MDPI, vol. 15(18), pages 1-14, September.
    18. Zhaoyi Xu & Yuqing Zeng & Yangrong Xue & Shenggang Yang, 2022. "Early Warning of Chinese Yuan’s Exchange Rate Fluctuation and Value at Risk Measure Using Neural Network Joint Optimization Algorithm," Computational Economics, Springer;Society for Computational Economics, vol. 60(4), pages 1293-1315, December.
    19. Ryno du Plooy & Pierre J. Venter, 2021. "A Comparison of Artificial Neural Networks and Bootstrap Aggregating Ensembles in a Modern Financial Derivative Pricing Framework," JRFM, MDPI, vol. 14(6), pages 1-18, June.
    20. Glau, Kathrin & Wunderlich, Linus, 2022. "The deep parametric PDE method and applications to option pricing," Applied Mathematics and Computation, Elsevier, vol. 432(C).
    21. Shuaiqiang Liu & Anastasia Borovykh & Lech A. Grzelak & Cornelis W. Oosterlee, 2019. "A neural network-based framework for financial model calibration," Papers 1904.10523, arXiv.org.
    22. Maciej Wysocki & Robert Ślepaczuk, 2020. "Artificial Neural Networks Performance in WIG20 Index Options Pricing," Working Papers 2020-19, Faculty of Economic Sciences, University of Warsaw.
    23. Jaegi Jeon & Kyunghyun Park & Jeonggyu Huh, 2021. "Extensive networks would eliminate the demand for pricing formulas," Papers 2101.09064, arXiv.org.
    24. Lokeshwar, Vikranth & Bharadwaj, Vikram & Jain, Shashi, 2022. "Explainable neural network for pricing and universal static hedging of contingent claims," Applied Mathematics and Computation, Elsevier, vol. 417(C).
    25. Laurens Van Mieghem & Antonis Papapantoleon & Jonas Papazoglou-Hennig, 2023. "Machine learning for option pricing: an empirical investigation of network architectures," Papers 2307.07657, arXiv.org.
    26. Kathrin Glau & Linus Wunderlich, 2020. "The Deep Parametric PDE Method: Application to Option Pricing," Papers 2012.06211, arXiv.org.
    27. S'andor Kuns'agi-M'at'e & G'abor F'ath & Istv'an Csabai & G'abor Moln'ar-S'aska, 2022. "Deep Weighted Monte Carlo: A hybrid option pricing framework using neural networks," Papers 2208.14038, arXiv.org, revised Dec 2022.
    28. Shuaiqiang Liu & 'Alvaro Leitao & Anastasia Borovykh & Cornelis W. Oosterlee, 2020. "On Calibration Neural Networks for extracting implied information from American options," Papers 2001.11786, arXiv.org.
    29. Antal Ratku & Dirk Neumann, 2022. "Derivatives of feed-forward neural networks and their application in real-time market risk management," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 44(3), pages 947-965, September.
    30. Ashley Davey & Harry Zheng, 2022. "Deep Learning for Constrained Utility Maximisation," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 661-692, June.
    31. Gero Junike & Konstantin Pankrashkin, 2021. "Precise option pricing by the COS method--How to choose the truncation range," Papers 2109.01030, arXiv.org, revised Jan 2022.
    32. Geon Lee & Tae-Kyoung Kim & Hyun-Gyoon Kim & Jeonggyu Huh, 2022. "Newton Raphson Emulation Network for Highly Efficient Computation of Numerous Implied Volatilities," Papers 2210.15969, arXiv.org.

  12. Anastasia Borovykh & Cornelis W. Oosterlee & Andrea Pascucci, 2016. "Pricing Bermudan options under local L\'evy models with default," Papers 1604.08735, arXiv.org.

    Cited by:

    1. Qian Feng & Cornelis W. Oosterlee, 2017. "Computing Credit Valuation Adjustment For Bermudan Options With Wrong Way Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-31, December.

  13. Q. Feng & C. W. Oosterlee, 2014. "Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model," Papers 1412.3623, arXiv.org.

    Cited by:

    1. Anastasia Borovykh & Andrea Pascucci & Cornelis W. Oosterlee, 2019. "Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models," Papers 1905.01706, arXiv.org.

  14. Marjon Ruijter & Kees Oosterlee, 2012. "Two-dimensional Fourier cosine series expansion method for pricing financial options," CPB Discussion Paper 225, CPB Netherlands Bureau for Economic Policy Analysis.

    Cited by:

    1. Carole Bernard & Zhenyu Cui & Don Mcleish, 2012. "Nearly Exact Option Price Simulation Using Characteristic Functions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(07), pages 1-29.
    2. Laura Ballotta & Ioannis Kyriakou, 2015. "Convertible bond valuation in a jump diffusion setting with stochastic interest rates," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 115-129, January.
    3. Adam W. Kolkiewicz & Fangyuan Sally Lin, 2017. "Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes," North American Actuarial Journal, Taylor & Francis Journals, vol. 21(3), pages 433-457, July.
    4. Gero Junike & Hauke Stier, 2023. "From characteristic functions to multivariate distribution functions and European option prices by the damped COS method," Papers 2307.12843, arXiv.org, revised Mar 2024.
    5. Bertram During & Alexander Pitkin, 2017. "High-order compact finite difference scheme for option pricing in stochastic volatility jump models," Papers 1704.05308, arXiv.org, revised Feb 2019.
    6. Andersson, Kristoffer & Oosterlee, Cornelis W., 2021. "A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options," Applied Mathematics and Computation, Elsevier, vol. 408(C).
    7. Bertram During & Christian Hendricks & James Miles, 2016. "Sparse grid high-order ADI scheme for option pricing in stochastic volatility models," Papers 1611.01379, arXiv.org.
    8. Huang, Shoude & Guo, Xunxiang, 2022. "Valuation of European-style vulnerable options under the non-affine stochastic volatility and double exponential jump," Chaos, Solitons & Fractals, Elsevier, vol. 158(C).
    9. Lian, Guanghua & Chiarella, Carl & Kalev, Petko S., 2014. "Volatility swaps and volatility options on discretely sampled realized variance," Journal of Economic Dynamics and Control, Elsevier, vol. 47(C), pages 239-262.
    10. Maarten Wyns & Jacques Du Toit, 2016. "A Finite Volume - Alternating Direction Implicit Approach for the Calibration of Stochastic Local Volatility Models," Papers 1611.02961, arXiv.org.
    11. Jie Chen & Liaoyuan Fan & Lingfei Li & Gongqiu Zhang, 2022. "A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation," Review of Derivatives Research, Springer, vol. 25(2), pages 189-232, July.
    12. Muroi, Yoshifumi & Suda, Shintaro, 2022. "Binomial tree method for option pricing: Discrete cosine transform approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 198(C), pages 312-331.
    13. Luis A. Souto Arias & Pasquale Cirillo & Cornelis W. Oosterlee, 2022. "A new self-exciting jump-diffusion process for option pricing," Papers 2205.13321, arXiv.org, revised Feb 2023.
    14. Junike, Gero & Pankrashkin, Konstantin, 2022. "Precise option pricing by the COS method—How to choose the truncation range," Applied Mathematics and Computation, Elsevier, vol. 421(C).
    15. Jain, Shashi & Oosterlee, Cornelis W., 2015. "The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks," Applied Mathematics and Computation, Elsevier, vol. 269(C), pages 412-431.
    16. Tobias Behrens & Gero Junike, 2023. "Greeks' pitfalls for the COS method in the Laplace model," Papers 2306.08421, arXiv.org, revised Jul 2023.
    17. Henrik Dam & Andrea Macrina & David Skovmand & David Sloth, 2018. "Rational Models for Inflation-Linked Derivatives," Papers 1801.08804, arXiv.org, revised Jul 2020.
    18. Wenguang Yu & Yaodi Yong & Guofeng Guan & Yujuan Huang & Wen Su & Chaoran Cui, 2019. "Valuing Guaranteed Minimum Death Benefits by Cosine Series Expansion," Mathematics, MDPI, vol. 7(9), pages 1-15, September.
    19. Luca De Gennaro Aquino & Carole Bernard, 2019. "Semi-analytical prices for lookback and barrier options under the Heston model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 715-741, December.
    20. Gero Junike, 2023. "On the number of terms in the COS method for European option pricing," Papers 2303.16012, arXiv.org, revised Mar 2024.
    21. Michael Samet & Christian Bayer & Chiheb Ben Hammouda & Antonis Papapantoleon & Ra'ul Tempone, 2022. "Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\'evy Models," Papers 2203.08196, arXiv.org, revised Oct 2023.
    22. Rong Du & Duy-Minh Dang, 2023. "Fourier Neural Network Approximation of Transition Densities in Finance," Papers 2309.03966, arXiv.org.
    23. Hassan Omidi Firouzi & Andrew Luong, 2014. "Optimal Portfolio Problem Using Entropic Value at Risk: When the Underlying Distribution is Non-Elliptical," Papers 1406.7040, arXiv.org.
    24. Lin Wang & Hongquan Xu & Min-Qian Liu, 2023. "Fractional factorial designs for Fourier-cosine models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 86(3), pages 373-390, April.
    25. Qian Feng & Cornelis W. Oosterlee, 2017. "Computing Credit Valuation Adjustment For Bermudan Options With Wrong Way Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-31, December.
    26. A. Cassagnes & Y. Chen & H. Ohashi, 2014. "Heterogeneous Computation Of Rainbow Option Prices Using Fourier Cosine Series Expansion Under A Mixed Cpu–Gpu Computation Framework," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 21(2), pages 91-104, April.
    27. Yang, Yang & Su, Wen & Zhang, Zhimin, 2019. "Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion," Statistics & Probability Letters, Elsevier, vol. 146(C), pages 147-155.
    28. Fei Cong & Cornelis W. Oosterlee, 2017. "Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 433-458, March.
    29. Gero Junike & Konstantin Pankrashkin, 2021. "Precise option pricing by the COS method--How to choose the truncation range," Papers 2109.01030, arXiv.org, revised Jan 2022.
    30. Duy-Minh Dang & Hao Zhou, 2024. "A monotone piecewise constant control integration approach for the two-factor uncertain volatility model," Papers 2402.06840, arXiv.org, revised Feb 2024.
    31. Wen Su & Yunyun Wang, 2021. "Estimating the Gerber-Shiu Function in Lévy Insurance Risk Model by Fourier-Cosine Series Expansion," Mathematics, MDPI, vol. 9(12), pages 1-18, June.

  15. Grzelak, Lech & Oosterlee, Kees, 2010. "An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile," MPRA Paper 20574, University Library of Munich, Germany.

    Cited by:

    1. Lech A. Grzelak & Cornelis W. Oosterlee, 2012. "On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(1), pages 1-35, February.
    2. Ascione, Giacomo & Mehrdoust, Farshid & Orlando, Giuseppe & Samimi, Oldouz, 2023. "Foreign Exchange Options on Heston-CIR Model Under Lévy Process Framework," Applied Mathematics and Computation, Elsevier, vol. 446(C).

  16. Grzelak, Lech & Oosterlee, Kees, 2010. "On cross-currency models with stochastic volatility and correlated interest rates," MPRA Paper 23020, University Library of Munich, Germany.

    Cited by:

    1. Patrik Karlsson & Kay F Pilz & Erik Schlogl, 2016. "Calibrating Market Model to Commodity and Interest Rate Risk," Research Paper Series 372, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Kenji Nagami, 2019. "Expansion method for pricing foreign exchange options under stochastic volatility and interest rates," Papers 1908.09640, arXiv.org.
    3. Rehez Ahlip & Laurence A. F. Park & Ante Prodan, 2017. "Pricing currency options in the Heston/CIR double exponential jump-diffusion model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-30, March.
    4. Kirkby, J. Lars, 2023. "Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation," European Journal of Operational Research, Elsevier, vol. 305(2), pages 961-978.
    5. Fazlollah Soleymani & Andrey Itkin, 2019. "Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method," Papers 1903.00937, arXiv.org.
    6. M. Briani & L. Caramellino & A. Zanette, 2015. "A hybrid tree/finite-difference approach for Heston-Hull-White type models," Papers 1503.03705, arXiv.org, revised Dec 2017.
    7. Benjamin Tin Chun Cheng, 2017. "Pricing and Hedging of Long-Dated Commodity Derivatives," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2017.
    8. Ascione, Giacomo & Mehrdoust, Farshid & Orlando, Giuseppe & Samimi, Oldouz, 2023. "Foreign Exchange Options on Heston-CIR Model Under Lévy Process Framework," Applied Mathematics and Computation, Elsevier, vol. 446(C).
    9. Yijuan Liang & Xiuchuan Xu, 2019. "Variance and Dimension Reduction Monte Carlo Method for Pricing European Multi-Asset Options with Stochastic Volatilities," Sustainability, MDPI, vol. 11(3), pages 1-21, February.
    10. Lai, Van Son & Parcollet, Mathieu & Lamond, Bernard F., 2014. "The valuation of catastrophe bonds with exposure to currency exchange risk," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 243-252.
    11. Simonella, Roberta & Vázquez, Carlos, 2023. "XVA in a multi-currency setting with stochastic foreign exchange rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 207(C), pages 59-79.
    12. Griselda Deelstra & Gr'egory Ray'ee, 2012. "Local Volatility Pricing Models for Long-dated FX Derivatives," Papers 1204.0633, arXiv.org.
    13. Anatoliy Swishchuk & Maksym Tertychnyi & Robert Elliott, 2014. "Pricing Currency Derivatives with Markov-modulated Levy Dynamics," Papers 1402.1953, arXiv.org.
    14. Grzelak, Lech A., 2022. "Sparse grid method for highly efficient computation of exposures for xVA," Applied Mathematics and Computation, Elsevier, vol. 434(C).
    15. Ahmet Akca & Ethem Çanakoğlu, 2021. "Adaptive stochastic risk estimation of firm operating profit," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 48(3), pages 463-504, September.
    16. Lech A. Grzelak, 2021. "Sparse Grid Method for Highly Efficient Computation of Exposures for xVA," Papers 2104.14319, arXiv.org, revised May 2022.
    17. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2015. "Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates," Research Paper Series 366, Quantitative Finance Research Centre, University of Technology, Sydney.
    18. P. Karlsson & K. F. Pilz & E. Schlögl, 2017. "Calibrating a market model with stochastic volatility to commodity and interest rate risk," Quantitative Finance, Taylor & Francis Journals, vol. 17(6), pages 907-925, June.
    19. Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W., 2013. "Pricing inflation products with stochastic volatility and stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 286-299.
    20. Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.
    21. S. Simaitis & C. S. L. de Graaf & N. Hari & D. Kandhai, 2016. "Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk," Quantitative Finance, Taylor & Francis Journals, vol. 16(11), pages 1725-1740, November.

  17. Grzelak, Lech & Oosterlee, Kees, 2009. "On The Heston Model with Stochastic Interest Rates," MPRA Paper 20620, University Library of Munich, Germany, revised 18 Jan 2010.

    Cited by:

    1. Ben-Zhang Yang & Xiaoping Lu & Guiyuan Ma & Song-Ping Zhu, 2020. "Robust Portfolio Optimization with Multi-Factor Stochastic Volatility," Journal of Optimization Theory and Applications, Springer, vol. 186(1), pages 264-298, July.
    2. Laura Ballotta & Ioannis Kyriakou, 2015. "Convertible bond valuation in a jump diffusion setting with stochastic interest rates," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 115-129, January.
    3. Darren Shannon & Grigorios Fountas, 2021. "Extending the Heston Model to Forecast Motor Vehicle Collision Rates," Papers 2104.11461, arXiv.org, revised May 2021.
    4. E. Ngounda & K. C. Patidar & E. Pindza, 2014. "A Robust Spectral Method for Solving Heston’s Model," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 164-178, April.
    5. Andrei Cozma & Christoph Reisinger, 2015. "A mixed Monte Carlo and PDE variance reduction method for foreign exchange options under the Heston-CIR model," Papers 1509.01479, arXiv.org, revised Apr 2016.
    6. Ziveyi, Jonathan & Blackburn, Craig & Sherris, Michael, 2013. "Pricing European options on deferred annuities," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 300-311.
    7. Andrei Cozma & Christoph Reisinger, 2015. "Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process," Papers 1601.00919, arXiv.org.
    8. Kenji Nagami, 2019. "Expansion method for pricing foreign exchange options under stochastic volatility and interest rates," Papers 1908.09640, arXiv.org.
    9. Roman Horsky & Tilman Sayer, 2015. "Joining The Heston And A Three-Factor Short Rate Model: A Closed-Form Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-17, December.
    10. Misha Beek & Michel Mandjes & Peter Spreij & Erik Winands, 2020. "Regime switching affine processes with applications to finance," Finance and Stochastics, Springer, vol. 24(2), pages 309-333, April.
    11. Andrey Itkin, 2015. "LSV models with stochastic interest rates and correlated jumps," Papers 1511.01460, arXiv.org, revised Nov 2016.
    12. Long Teng, 2021. "The Heston Model with Time-Dependent Correlation Driven by Isospectral Flows," Mathematics, MDPI, vol. 9(9), pages 1-8, April.
    13. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016. "Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?," Research Paper Series 367, Quantitative Finance Research Centre, University of Technology, Sydney.
    14. Long Teng & Matthias Ehrhardt & Michael Günther, 2016. "On The Heston Model With Stochastic Correlation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 1-25, September.
    15. Andrei Cozma & Matthieu Mariapragassam & Christoph Reisinger, 2015. "Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets," Papers 1501.06084, arXiv.org, revised Oct 2016.
    16. Fazlollah Soleymani & Andrey Itkin, 2019. "Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method," Papers 1903.00937, arXiv.org.
    17. Baron Law, 2021. "Correlation Estimation in Hybrid Systems," Papers 2111.06042, arXiv.org, revised Jul 2023.
    18. Maria Cristina Recchioni & Yu Sun & Gabriele Tedeschi, 2016. "Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model," Working Papers 2016/23, Economics Department, Universitat Jaume I, Castellón (Spain).
    19. M. Briani & L. Caramellino & A. Zanette, 2015. "A hybrid tree/finite-difference approach for Heston-Hull-White type models," Papers 1503.03705, arXiv.org, revised Dec 2017.
    20. Lech A. Grzelak & Cornelis W. Oosterlee, 2012. "On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(1), pages 1-35, February.
    21. Ben-zhang Yang & Jia Yue & Nan-jing Huang, 2017. "Variance swaps under L\'{e}vy process with stochastic volatility and stochastic interest rate in incomplete markets," Papers 1712.10105, arXiv.org, revised Mar 2018.
    22. Benjamin Tin Chun Cheng, 2017. "Pricing and Hedging of Long-Dated Commodity Derivatives," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2017.
    23. Yijuan Liang & Xiuchuan Xu, 2019. "Variance and Dimension Reduction Monte Carlo Method for Pricing European Multi-Asset Options with Stochastic Volatilities," Sustainability, MDPI, vol. 11(3), pages 1-21, February.
    24. Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2017. "A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps," European Journal of Operational Research, Elsevier, vol. 262(1), pages 381-400.
    25. Maya Briani & Lucia Caramellino & Giulia Terenzi & Antonino Zanette, 2016. "Numerical stability of a hybrid method for pricing options," Papers 1603.07225, arXiv.org, revised Dec 2019.
    26. M. Escobar & D. Neykova & R. Zagst, 2017. "HARA utility maximization in a Markov-switching bond–stock market," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1715-1733, November.
    27. Lay Harold A. & Colgin Zane & Reshniak Viktor & Khaliq Abdul Q. M., 2018. "On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters," Monte Carlo Methods and Applications, De Gruyter, vol. 24(4), pages 309-321, December.
    28. Kim, Seong-Tae & Kim, Jeong-Hoon, 2020. "Stochastic elasticity of vol-of-vol and pricing of variance swaps," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 177(C), pages 420-440.
    29. Xin‐Jiang He & Wenting Chen, 2021. "A semianalytical formula for European options under a hybrid Heston–Cox–Ingersoll–Ross model with regime switching," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 343-352, January.
    30. Long Teng & Matthias Ehrhardt & Michael Günther, 2017. "Numerical Simulation of the Heston Model under Stochastic Correlation," IJFS, MDPI, vol. 6(1), pages 1-16, December.
    31. Felix L. Wolf & Lech A. Grzelak & Griselda Deelstra, 2021. "Cheapest-to-Deliver Collateral: A Common Factor Approach," Papers 2103.06107, arXiv.org, revised Sep 2021.
    32. Ben-Zhang Yang & Xiaoping Lu & Guiyuan Ma & Song-Ping Zhu, 2019. "Robust portfolio optimization with multi-factor stochastic volatility," Papers 1910.06872, arXiv.org, revised Jun 2020.
    33. Grzelak, Lech & Oosterlee, Kees, 2010. "An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile," MPRA Paper 20574, University Library of Munich, Germany.
    34. Marcos Escobar & Christoph Gschnaidtner, 2018. "A multivariate stochastic volatility model with applications in the foreign exchange market," Review of Derivatives Research, Springer, vol. 21(1), pages 1-43, April.
    35. Cheng, Benjamin & Nikitopoulos, Christina Sklibosios & Schlögl, Erik, 2018. "Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 148-166.
    36. Ah-Reum Han & Jeong-Hoon Kim & See-Woo Kim, 2021. "Variance Swaps with Deterministic and Stochastic Correlations," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1059-1092, April.
    37. Teh Raihana Nazirah Roslan & Wenjun Zhang & Jiling Cao, 2016. "Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure," Papers 1610.09714, arXiv.org, revised Apr 2020.
    38. Maya Briani & Lucia Caramellino & Giulia Terenzi & Antonino Zanette, 2019. "Numerical Stability Of A Hybrid Method For Pricing Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(07), pages 1-46, November.
    39. Karel in 't Hout & Jari Toivanen, 2015. "Application of Operator Splitting Methods in Finance," Papers 1504.01022, arXiv.org.
    40. Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2020. "A moment matching method for option pricing under stochastic interest rates," Papers 2005.14063, arXiv.org.
    41. Tinne Haentjens & Karel J. in 't Hout, 2011. "ADI finite difference schemes for the Heston-Hull-White PDE," Papers 1111.4087, arXiv.org.
    42. Q. Feng & C. W. Oosterlee, 2014. "Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model," Papers 1412.3623, arXiv.org.
    43. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2015. "Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates," Research Paper Series 366, Quantitative Finance Research Centre, University of Technology, Sydney.
    44. P. Karlsson & K. F. Pilz & E. Schlögl, 2017. "Calibrating a market model with stochastic volatility to commodity and interest rate risk," Quantitative Finance, Taylor & Francis Journals, vol. 17(6), pages 907-925, June.
    45. Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W., 2013. "Pricing inflation products with stochastic volatility and stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 286-299.
    46. Ben-Zhang Yang & Jia Yue & Nan-Jing Huang, 2019. "Equilibrium Price Of Variance Swaps Under Stochastic Volatility With Lévy Jumps And Stochastic Interest Rate," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-33, June.
    47. Gero Junike & Konstantin Pankrashkin, 2021. "Precise option pricing by the COS method--How to choose the truncation range," Papers 2109.01030, arXiv.org, revised Jan 2022.
    48. Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.

  18. Fang, Fang & Oosterlee, Kees, 2008. "A Novel Pricing Method For European Options Based On Fourier-Cosine Series Expansions," MPRA Paper 7700, University Library of Munich, Germany.

    Cited by:

    1. Jean-Philippe Aguilar, 2021. "The value of power-related options under spectrally negative Lévy processes," Review of Derivatives Research, Springer, vol. 24(2), pages 173-196, July.
    2. Tat Lung Chan, 2017. "Singular Fourier-Pad\'e Series Expansion of European Option Prices," Papers 1706.06709, arXiv.org, revised Nov 2017.
    3. Damir Filipovi'c & Martin Larsson, 2017. "Polynomial Jump-Diffusion Models," Papers 1711.08043, arXiv.org, revised Jul 2019.
    4. Chris Bardgett & Elise Gourier & Markus Leippold, 2016. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets," Working Papers 780, Queen Mary University of London, School of Economics and Finance.
    5. Albrecher, Hansjoerg & Guillaume, Florence & Schoutens, Wim, 2013. "Implied liquidity: Model sensitivity," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 48-67.
    6. Phelan, Carolyn E. & Marazzina, Daniele & Fusai, Gianluca & Germano, Guido, 2018. "Fluctuation identities with continuous monitoring and their application to the pricing of barrier options," European Journal of Operational Research, Elsevier, vol. 271(1), pages 210-223.
    7. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2018. "Short-Term Market Risks Implied by Weekly Options," CREATES Research Papers 2018-08, Department of Economics and Business Economics, Aarhus University.
    8. Samuel Drapeau & Michael Kupper & Antonis Papapantoleon, 2012. "A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents," Papers 1212.6732, arXiv.org, revised Dec 2013.
    9. Kirkby, J. Lars & Nguyen, Duy & Cui, Zhenyu, 2017. "A unified approach to Bermudan and barrier options under stochastic volatility models with jumps," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 75-100.
    10. Julien Hok & Tat Lung Chan, 2016. "Option pricing with Legendre polynomials," Papers 1610.03086, arXiv.org, revised Mar 2017.
    11. Ki Wai Chau & Cornelis W. Oosterlee, 2016. "On the wavelets-based SWIFT method for backward stochastic differential equations," Papers 1611.06098, arXiv.org.
    12. Peter H. Gruber & Claudio Tebaldi & Fabio Trojani, 2021. "The Price of the Smile and Variance Risk Premia," Management Science, INFORMS, vol. 67(7), pages 4056-4074, July.
    13. Chau, K.W. & Yam, S.C.P. & Yang, H., 2015. "Fourier-cosine method for Gerber–Shiu functions," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 170-180.
    14. H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022. "Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation," Tinbergen Institute Discussion Papers 22-000/III, Tinbergen Institute.
    15. Majewski, A. A. & Bormetti, G. & Corsi, F., 2013. "Smile from the Past: A general option pricing framework with multiple volatility and leverage components," Working Papers 13/11, Department of Economics, City University London.
    16. Chen, Ding & Härkönen, Hannu J. & Newton, David P., 2014. "Advancing the universality of quadrature methods to any underlying process for option pricing," Journal of Financial Economics, Elsevier, vol. 114(3), pages 600-612.
    17. Mesias Alfeus, 2019. "Stochastic Modelling of New Phenomena in Financial Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2019.
    18. Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2017. "Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 46-62.
    19. Hideharu Funahashi & Tomohide Higuchi, 2018. "An analytical approximation for single barrier options under stochastic volatility models," Annals of Operations Research, Springer, vol. 266(1), pages 129-157, July.
    20. Gudmundsson, Hilmar & Vyncke, David, 2019. "On the calibration of the 3/2 model," European Journal of Operational Research, Elsevier, vol. 276(3), pages 1178-1192.
    21. Jingtang Ma & Wenyuan Li & Harry Zheng, 2017. "Dual control Monte Carlo method for tight bounds of value function under Heston stochastic volatility model," Papers 1710.10487, arXiv.org.
    22. Teng, Ye & Zhang, Zhimin, 2023. "Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation," Applied Mathematics and Computation, Elsevier, vol. 452(C).
    23. Herbertsson, Alexander, 2022. "Saddlepoint approximations for credit portfolios with stochastic recoveries," Working Papers in Economics 823, University of Gothenburg, Department of Economics.
    24. Vikranth Lokeshwar & Vikram Bhardawaj & Shashi Jain, 2019. "Neural network for pricing and universal static hedging of contingent claims," Papers 1911.11362, arXiv.org.
    25. Carl Chiarella & Susanne Griebsch & Boda Kang, 2013. "Investigating Time-Efficient Methods to Price Compound Options in the Heston Model," Research Paper Series 328, Quantitative Finance Research Centre, University of Technology, Sydney.
    26. Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano, 2017. "Hilbert transform, spectral filters and option pricing," Papers 1706.09755, arXiv.org, revised Jan 2020.
    27. Damir Filipovic & Martin Larsson & Tony Ware, 2017. "Polynomial processes for power prices," Papers 1710.10293, arXiv.org, revised Apr 2018.
    28. Peter A. Forsyth & George Labahn, 2017. "$\epsilon$-Monotone Fourier Methods for Optimal Stochastic Control in Finance," Papers 1710.08450, arXiv.org, revised Apr 2018.
    29. Ballotta, Laura & Rayée, Grégory, 2022. "Smiles & smirks: Volatility and leverage by jumps," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1145-1161.
    30. Sergei Levendorskiĭ, 2022. "Operators and Boundary Problems in Finance, Economics and Insurance: Peculiarities, Efficient Methods and Outstanding Problems," Mathematics, MDPI, vol. 10(7), pages 1-36, March.
    31. Alaya, Mohamed Ben & Hajji, Kaouther & Kebaier, Ahmed, 2016. "Importance sampling and statistical Romberg method for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 126(7), pages 1901-1931.
    32. Agostino Capponi & Stefano Pagliarani & Tiziano Vargiolu, 2014. "Pricing vulnerable claims in a Lévy-driven model," Finance and Stochastics, Springer, vol. 18(4), pages 755-789, October.
    33. Ballotta, Laura & Fusai, Gianluca & Marazzina, Daniele, 2019. "Integrated structural approach to Credit Value Adjustment," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1143-1157.
    34. Huang, Shoude & Guo, Xunxiang, 2022. "Valuation of European-style vulnerable options under the non-affine stochastic volatility and double exponential jump," Chaos, Solitons & Fractals, Elsevier, vol. 158(C).
    35. Suda, Shintaro & Muroi, Yoshifumi, 2015. "Computation of Greeks using binomial trees in a jump-diffusion model," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 93-110.
    36. Lian, Guanghua & Chiarella, Carl & Kalev, Petko S., 2014. "Volatility swaps and volatility options on discretely sampled realized variance," Journal of Economic Dynamics and Control, Elsevier, vol. 47(C), pages 239-262.
    37. Long Teng, 2021. "The Heston Model with Time-Dependent Correlation Driven by Isospectral Flows," Mathematics, MDPI, vol. 9(9), pages 1-8, April.
    38. Herbertsson, Alexander, 2023. "Saddlepoint approximations for credit portfolio distributions with applications in equity risk management," Working Papers in Economics 839, University of Gothenburg, Department of Economics.
    39. Chan, Tat Lung (Ron), 2019. "Efficient computation of european option prices and their sensitivities with the complex fourier series method," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    40. Eduardo Abi Jaber, 2018. "Lifting the Heston model," Papers 1810.04868, arXiv.org, revised Nov 2019.
    41. Martijn Pistorius & Johannes Stolte, 2012. "Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations," Papers 1203.6899, arXiv.org.
    42. J. Lars Kirkby & Shi-Jie Deng, 2019. "Swing Option Pricing By Dynamic Programming With B-Spline Density Projection," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-53, December.
    43. Maarten Wyns & Jacques Du Toit, 2016. "A Finite Volume - Alternating Direction Implicit Approach for the Calibration of Stochastic Local Volatility Models," Papers 1611.02961, arXiv.org.
    44. Wei Lin & Shenghong Li & Xingguo Luo & Shane Chern, 2015. "Consistent Pricing of VIX and Equity Derivatives with the 4/2 Stochastic Volatility Plus Jumps Model," Papers 1510.01172, arXiv.org, revised Nov 2015.
    45. Walter Farkas & Ludovic Mathys & Nikola Vasiljevi'c, 2020. "Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps," Papers 2002.04675, arXiv.org, revised Jan 2021.
    46. Marjon Ruijter & Kees Oosterlee, 2012. "Two-dimensional Fourier cosine series expansion method for pricing financial options," CPB Discussion Paper 225, CPB Netherlands Bureau for Economic Policy Analysis.
    47. Svetlana Boyarchenko & Sergei Levendorskiu{i} & J. Lars Kirkby & Zhenyu Cui, 2021. "SINH-acceleration for B-spline projection with Option Pricing Applications," Papers 2109.08738, arXiv.org.
    48. Jan Baldeaux & Alexander Badran, 2012. "Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model," Papers 1203.5903, arXiv.org, revised Aug 2012.
    49. Muroi, Yoshifumi & Suda, Shintaro, 2022. "Binomial tree method for option pricing: Discrete cosine transform approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 198(C), pages 312-331.
    50. Damir Filipovic & Damien Ackerer & Sergio Pulido, 2018. "The Jacobi Stochastic Volatility Model," Post-Print hal-01338330, HAL.
    51. Ferreiro-Ferreiro, Ana María & García-Rodríguez, José A. & Souto, Luis & Vázquez, Carlos, 2020. "A new calibration of the Heston Stochastic Local Volatility Model and its parallel implementation on GPUs," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 177(C), pages 467-486.
    52. Jain, Shashi & Roelofs, Ferry & Oosterlee, Cornelis W., 2013. "Valuing modular nuclear power plants in finite time decision horizon," Energy Economics, Elsevier, vol. 36(C), pages 625-636.
    53. Vidal Nunes, João Pedro & Ruas, João Pedro & Dias, José Carlos, 2020. "Early exercise boundaries for American-style knock-out options," European Journal of Operational Research, Elsevier, vol. 285(2), pages 753-766.
    54. Lech A. Grzelak & Cornelis W. Oosterlee, 2012. "On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(1), pages 1-35, February.
    55. Luis A. Souto Arias & Pasquale Cirillo & Cornelis W. Oosterlee, 2022. "A new self-exciting jump-diffusion process for option pricing," Papers 2205.13321, arXiv.org, revised Feb 2023.
    56. Pablo Olivares, 2014. "Pricing of Basket Options Using Polynomial Approximations," Papers 1404.3160, arXiv.org.
    57. Majewski, Adam A. & Bormetti, Giacomo & Corsi, Fulvio, 2015. "Smile from the past: A general option pricing framework with multiple volatility and leverage components," Journal of Econometrics, Elsevier, vol. 187(2), pages 521-531.
    58. Ricardo Pachón, 2018. "Numerical pricing of European options with arbitrary payoffs," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-31, June.
    59. Rob Aalbers & Marjon Ruijter & Kees Oosterlee, 2014. "The social discount rate under a stochastic A2 scenario," CPB Discussion Paper 296, CPB Netherlands Bureau for Economic Policy Analysis.
    60. Karl Friedrich Hofmann & Thorsten Schulz, 2016. "A General Ornstein–Uhlenbeck Stochastic Volatility Model With Lévy Jumps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-23, December.
    61. Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2017. "A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps," European Journal of Operational Research, Elsevier, vol. 262(1), pages 381-400.
    62. Walter Farkas & Ludovic Mathys & Nikola Vasiljević, 2021. "Intra‐Horizon expected shortfall and risk structure in models with jumps," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 772-823, April.
    63. Pablo Olivares, 2020. "Pricing Temperature Derivatives under a Time-Changed Levy Model," Papers 2005.14350, arXiv.org.
    64. Allan Jonathan da Silva & Jack Baczynski & José Valentim Machado Vicente, 2020. "Efficient Solutions for Pricing and Hedging Interest Rate Asian Options," Working Papers Series 513, Central Bank of Brazil, Research Department.
    65. Patrik Karlsson, 2018. "Finite element based Monte Carlo simulation of options on Lévy driven assets," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 1-23, March.
    66. Andrey Itkin, 2023. "The ATM implied skew in the ADO-Heston model," Papers 2309.15044, arXiv.org.
    67. Hongshan Li & Zhongyi Huang, 2019. "Artificial boundary method for the solution of pricing European options under the Heston model," Papers 1912.00691, arXiv.org.
    68. Li, Zhe & Zhang, Wei-Guo & Liu, Yong-Jun & Zhang, Yue, 2019. "Pricing discrete barrier options under jump-diffusion model with liquidity risk," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 347-368.
    69. Stéphane Crépey & Matthew F Dixon, 2020. "Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations," Post-Print hal-03910109, HAL.
    70. Kirkby, J. Lars & Nguyen, Duy, 2021. "Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 408-428.
    71. Teng, Ye & Zhang, Zhimin, 2023. "On a time-changed Lévy risk model with capital injections and periodic observation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 214(C), pages 290-314.
    72. Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013. "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, vol. 107(2), pages 284-304.
    73. Jun Cheng & Jin Zhang, 2012. "Analytical pricing of American options," Review of Derivatives Research, Springer, vol. 15(2), pages 157-192, July.
    74. Yaowen Lu & Duy-Minh Dang, 2023. "A semi-Lagrangian $\epsilon$-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate," Papers 2310.00606, arXiv.org.
    75. St'ephane Cr'epey & Matthew Dixon, 2019. "Gaussian Process Regression for Derivative Portfolio Modeling and Application to CVA Computations," Papers 1901.11081, arXiv.org, revised Oct 2019.
    76. Svetlana Boyarchenko & Sergei Levendorskiĭ, 2020. "Static and semistatic hedging as contrarian or conformist bets," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 921-960, July.
    77. Álvaro Leitao & Lech A. Grzelak & Cornelis W. Oosterlee, 2017. "On an efficient multiple time step Monte Carlo simulation of the SABR model," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1549-1565, October.
    78. A S Hurn & Kenenth A Lindsay & Andrew McClelland, 2013. "On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options," NCER Working Paper Series 90, National Centre for Econometric Research.
    79. Eudald Romo & Luis Ortiz-Gracia, 2021. "SWIFT calibration of the Heston model," Papers 2103.01570, arXiv.org.
    80. Peter Carr & Andrey Itkin, 2019. "ADOL - Markovian approximation of rough lognormal model," Papers 1904.09240, arXiv.org.
    81. Wenguang Yu & Yaodi Yong & Guofeng Guan & Yujuan Huang & Wen Su & Chaoran Cui, 2019. "Valuing Guaranteed Minimum Death Benefits by Cosine Series Expansion," Mathematics, MDPI, vol. 7(9), pages 1-15, September.
    82. Anastasia Borovykh & Cornelis W. Oosterlee & Andrea Pascucci, 2016. "Pricing Bermudan options under local L\'evy models with default," Papers 1604.08735, arXiv.org.
    83. Brignone, Riccardo & Gonzato, Luca & Lütkebohmert, Eva, 2023. "Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants," Journal of Banking & Finance, Elsevier, vol. 148(C).
    84. Leitao, Álvaro & Oosterlee, Cornelis W. & Ortiz-Gracia, Luis & Bohte, Sander M., 2018. "On the data-driven COS method," Applied Mathematics and Computation, Elsevier, vol. 317(C), pages 68-84.
    85. Jan Baldeaux & Alexander Badran, 2014. "Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 21(4), pages 299-312, September.
    86. Zhigang Tong & Allen Liu, 2018. "Analytical pricing of discrete arithmetic Asian options under generalized CIR process with time change," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 1-21, March.
    87. Long Teng & Matthias Ehrhardt & Michael Günther, 2018. "Quanto Pricing In Stochastic Correlation Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-20, August.
    88. Grzelak, Lech & Oosterlee, Kees, 2010. "An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile," MPRA Paper 20574, University Library of Munich, Germany.
    89. Pedro Febrer & João Guerra, 2021. "Residue Sum Formula for Pricing Options under the Variance Gamma Model," Mathematics, MDPI, vol. 9(10), pages 1-29, May.
    90. Adam Aleksander Majewski & Giacomo Bormetti & Fulvio Corsi, 2014. "Smile from the Past: A general option pricing framework with multiple volatility and leverage components," Papers 1404.3555, arXiv.org.
    91. Xie, Jiayi & Zhang, Zhimin, 2020. "Statistical estimation for some dividend problems under the compound Poisson risk model," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 101-115.
    92. Zhe Zhao & Zhenyu Cui & Ionuţ Florescu, 2018. "VIX derivatives valuation and estimation based on closed-form series expansions," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-18, June.
    93. Kailin Ding & Zhenyu Cui & Yanchu Liu, 2023. "Sequential Itô–Taylor expansions and characteristic functions of stochastic volatility models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(12), pages 1750-1769, December.
    94. Li, Zhe & Zhang, Weiguo & Zhang, Yue & Yi, Zhigao, 2019. "An analytical approximation approach for pricing European options in a two-price economy," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    95. Jing, Bo & Li, Shenghong & Ma, Yong, 2021. "Consistent pricing of VIX options with the Hawkes jump-diffusion model," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    96. Hanwen Zhang & Duy-Minh Dang, 2023. "A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models," Papers 2309.05977, arXiv.org.
    97. Evgenii Vladimirov, 2023. "iCOS: Option-Implied COS Method," Papers 2309.00943, arXiv.org, revised Feb 2024.
    98. Grzelak, Lech & Oosterlee, Kees, 2009. "On The Heston Model with Stochastic Interest Rates," MPRA Paper 20620, University Library of Munich, Germany, revised 18 Jan 2010.
    99. Yunyun Wang & Wenguang Yu & Yujuan Huang & Xinliang Yu & Hongli Fan, 2019. "Estimating the Expected Discounted Penalty Function in a Compound Poisson Insurance Risk Model with Mixed Premium Income," Mathematics, MDPI, vol. 7(3), pages 1-25, March.
    100. Reza Doostaki & Mohammad Mehdi Hosseini, 2022. "Option Pricing by the Legendre Wavelets Method," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 749-773, February.
    101. Carl Chiarella & Boda Kang & Gunter H. Meyer, 2010. "The Evaluation Of Barrier Option Prices Under Stochastic Volatility," Research Paper Series 266, Quantitative Finance Research Centre, University of Technology, Sydney.
    102. Michael Samet & Christian Bayer & Chiheb Ben Hammouda & Antonis Papapantoleon & Ra'ul Tempone, 2022. "Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\'evy Models," Papers 2203.08196, arXiv.org, revised Oct 2023.
    103. Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano, 2017. "Fluctuation identities with continuous monitoring and their application to price barrier options," Papers 1712.00077, arXiv.org.
    104. Rong Du & Duy-Minh Dang, 2023. "Fourier Neural Network Approximation of Transition Densities in Finance," Papers 2309.03966, arXiv.org.
    105. Ke Chen & Ser-Huang Poon, 2013. "Derivatives pricing with affine models and numerical implementation," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 6, pages 148-168, Edward Elgar Publishing.
    106. Jean-Philippe Aguilar, 2019. "The value of power-related options under spectrally negative L\'evy processes," Papers 1910.07971, arXiv.org, revised Jan 2021.
    107. Yingming Ge & Lingfei Li & Gongqiu Zhang, 2022. "A Fourier Transform Method for Solving Backward Stochastic Differential Equations," Methodology and Computing in Applied Probability, Springer, vol. 24(1), pages 385-412, March.
    108. Jean-Philippe Aguilar & Jan Korbel & Nicolas Pesci, 2021. "On the Quantitative Properties of Some Market Models Involving Fractional Derivatives," Mathematics, MDPI, vol. 9(24), pages 1-24, December.
    109. Andrey Itkin, 2014. "Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps," Papers 1405.6111, arXiv.org, revised May 2014.
    110. Sio Chong U & Jacky So & Deng Ding & Lihong Liu, 2016. "An efficient Fourier expansion method for the calculation of value-at-risk: Contributions of extra-ordinary risks," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-27, March.
    111. Fabien Le Floc'h, 2020. "Notes on the SWIFT method based on Shannon Wavelets for Option Pricing," Papers 2005.13252, arXiv.org.
    112. Ware, Antony, 2018. "Reliability-constrained hydropower valuation," Energy Policy, Elsevier, vol. 118(C), pages 633-641.
    113. Leitao, Álvaro & Grzelak, Lech A. & Oosterlee, Cornelis W., 2017. "On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options," Applied Mathematics and Computation, Elsevier, vol. 293(C), pages 461-479.
    114. Calvet, Laurent E. & Fearnley, Marcus & Fisher, Adlai J. & Leippold, Markus, 2015. "What is beneath the surface? Option pricing with multifrequency latent states," Journal of Econometrics, Elsevier, vol. 187(2), pages 498-511.
    115. Sun, Xianming & Gan, Siqing & Vanmaele, Michèle, 2015. "Analytical approximation for distorted expectations," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 246-252.
    116. Dilip B. Madan & Wim Schoutens, 2019. "Arbitrage Free Approximations to Candidate Volatility Surface Quotations," JRFM, MDPI, vol. 12(2), pages 1-21, April.
    117. Sung Ik Kim & Young Shin Kim, 2018. "Tempered stable structural model in pricing credit spread and credit default swap," Review of Derivatives Research, Springer, vol. 21(1), pages 119-148, April.
    118. Anastasia Borovykh & Andrea Pascucci & Cornelis W. Oosterlee, 2019. "Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models," Papers 1905.01706, arXiv.org.
    119. Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "L\'evy models amenable to efficient calculations," Papers 2207.02359, arXiv.org.
    120. A. Cassagnes & Y. Chen & H. Ohashi, 2014. "Heterogeneous Computation Of Rainbow Option Prices Using Fourier Cosine Series Expansion Under A Mixed Cpu–Gpu Computation Framework," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 21(2), pages 91-104, April.
    121. Lian, Guanghua & Zhu, Song-Ping & Elliott, Robert J. & Cui, Zhenyu, 2017. "Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 167-183.
    122. Xie, Jiayi & Zhang, Zhimin, 2021. "Finite-time dividend problems in a Lévy risk model under periodic observation," Applied Mathematics and Computation, Elsevier, vol. 398(C).
    123. Aleksandar Mijatovi'c & Romain Palfray, 2022. "A weak MLMC scheme for L\'evy-copula-driven SDEs with applications to the pricing of credit, equity and interest rate derivatives," Papers 2211.02528, arXiv.org.
    124. Laurens Van Mieghem & Antonis Papapantoleon & Jonas Papazoglou-Hennig, 2023. "Machine learning for option pricing: an empirical investigation of network architectures," Papers 2307.07657, arXiv.org.
    125. Eudald Romo & Luis Ortiz-Gracia, 2021. "SWIFT Calibration of the Heston Model," Mathematics, MDPI, vol. 9(5), pages 1-20, March.
    126. Li, Hongshan & Huang, Zhongyi, 2020. "An iterative splitting method for pricing European options under the Heston model☆," Applied Mathematics and Computation, Elsevier, vol. 387(C).
    127. Castellano, Rosella & Corallo, Vincenzo & Morelli, Giacomo, 2022. "Structural estimation of counterparty credit risk under recovery risk," Journal of Banking & Finance, Elsevier, vol. 140(C).
    128. A. Aimi & C. Guardasoni & L. Ortiz-Gracia & S. Sanfelici, 2023. "Fast Barrier Option Pricing by the COS BEM Method in Heston Model," Papers 2301.00648, arXiv.org, revised Jan 2023.
    129. Francesca Lilla, 2021. "Volatility Bursts: A discrete-time option model with multiple volatility components," Temi di discussione (Economic working papers) 1336, Bank of Italy, Economic Research and International Relations Area.
    130. Yang, Yang & Su, Wen & Zhang, Zhimin, 2019. "Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion," Statistics & Probability Letters, Elsevier, vol. 146(C), pages 147-155.
    131. Damien Ackerer & Damir Filipovi'c & Sergio Pulido, 2016. "The Jacobi Stochastic Volatility Model," Papers 1605.07099, arXiv.org, revised Mar 2018.
    132. Hongshan Li & Zhongyi Huang, 2020. "An iterative splitting method for pricing European options under the Heston model," Papers 2003.12934, arXiv.org.
    133. Yayun Wang, 2023. "Pricing a Specific Equity Index Annuity in a Regime-Switching Lévy Model with Jump," Computational Economics, Springer;Society for Computational Economics, vol. 61(3), pages 1115-1135, March.
    134. Deng Ding & Xiaofei Li & Yiqi Liu, 2017. "A regression-based numerical scheme for backward stochastic differential equations," Computational Statistics, Springer, vol. 32(4), pages 1357-1373, December.
    135. Huang, Chun-Sung & O'Hara, John G. & Mataramvura, Sure, 2022. "Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility," Applied Mathematics and Computation, Elsevier, vol. 414(C).
    136. Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W., 2013. "Pricing inflation products with stochastic volatility and stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 286-299.
    137. Eduardo Abi Jaber, 2019. "Lifting the Heston model," Post-Print hal-01890751, HAL.
    138. Fei Cong & Cornelis W. Oosterlee, 2017. "Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 433-458, March.
    139. João Pedro Vidal Nunes & Tiago Ramalho Viegas Alcaria, 2016. "Valuation of forward start options under affine jump-diffusion models," Quantitative Finance, Taylor & Francis Journals, vol. 16(5), pages 727-747, May.
    140. Alexander Kushpel, 2015. "Pricing of high-dimensional options," Papers 1510.07221, arXiv.org.
    141. Changfu Ma & Wei Xu & Yue Kuen Kwok, 2020. "Willow tree algorithms for pricing VIX derivatives under stochastic volatility models," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 7(01), pages 1-28, March.
    142. Fang, Fang & Oosterlee, Kees, 2008. "Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions," MPRA Paper 9248, University Library of Munich, Germany.
    143. Wang, Yayun & Zhang, Zhimin & Yu, Wenguang, 2021. "Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model," Applied Mathematics and Computation, Elsevier, vol. 399(C).
    144. Wen Su & Yunyun Wang, 2021. "Estimating the Gerber-Shiu Function in Lévy Insurance Risk Model by Fourier-Cosine Series Expansion," Mathematics, MDPI, vol. 9(12), pages 1-18, June.
    145. Stefano, Pagliarani & Pascucci, Andrea & Candia, Riga, 2011. "Expansion formulae for local Lévy models," MPRA Paper 34571, University Library of Munich, Germany.
    146. Chunfa Wang, 2017. "Pricing European Options by Stable Fourier-Cosine Series Expansions," Papers 1701.00886, arXiv.org, revised Jan 2017.
    147. Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tedongap & Lai Xu, 2020. "The Term Structures of Loss and Gain Uncertainty," Staff Working Papers 20-19, Bank of Canada.
    148. Xin-Jiang He & Sha Lin, 2022. "An Analytical Approximation Formula for Barrier Option Prices Under the Heston Model," Computational Economics, Springer;Society for Computational Economics, vol. 60(4), pages 1413-1425, December.
    149. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.
    150. S. Simaitis & C. S. L. de Graaf & N. Hari & D. Kandhai, 2016. "Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk," Quantitative Finance, Taylor & Francis Journals, vol. 16(11), pages 1725-1740, November.
    151. Konrad Gajewski & Sebastian Ferrando & Pablo Olivares, 2020. "Pricing Energy Contracts under Regime Switching Time-Changed models," Papers 2005.14361, arXiv.org.

  19. Fang, Fang & Oosterlee, Kees, 2008. "Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions," MPRA Paper 9248, University Library of Munich, Germany.

    Cited by:

    1. Kathrin Glau & Mirco Mahlstedt & Christian Potz, 2018. "A new approach for American option pricing: The Dynamic Chebyshev method," Papers 1806.05579, arXiv.org.
    2. Laura Ballotta & Ioannis Kyriakou, 2015. "Convertible bond valuation in a jump diffusion setting with stochastic interest rates," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 115-129, January.
    3. A. Golbabai & L. Ballestra & D. Ahmadian, 2014. "A Highly Accurate Finite Element Method to Price Discrete Double Barrier Options," Computational Economics, Springer;Society for Computational Economics, vol. 44(2), pages 153-173, August.
    4. Tat Lung Chan, 2017. "Singular Fourier-Pad\'e Series Expansion of European Option Prices," Papers 1706.06709, arXiv.org, revised Nov 2017.
    5. Ki Wai Chau & Cornelis W. Oosterlee, 2016. "On the wavelets-based SWIFT method for backward stochastic differential equations," Papers 1611.06098, arXiv.org.
    6. Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano, 2017. "Hilbert transform, spectral filters and option pricing," Papers 1706.09755, arXiv.org, revised Jan 2020.
    7. Helin Zhu & Fan Ye & Enlu Zhou, 2015. "Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1885-1900, November.
    8. Marjon Ruijter & Kees Oosterlee, 2012. "Two-dimensional Fourier cosine series expansion method for pricing financial options," CPB Discussion Paper 225, CPB Netherlands Bureau for Economic Policy Analysis.
    9. Helin Zhu & Fan Ye & Enlu Zhou, 2013. "Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes," Papers 1305.4321, arXiv.org.
    10. Jain, Shashi & Oosterlee, Cornelis W., 2015. "The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks," Applied Mathematics and Computation, Elsevier, vol. 269(C), pages 412-431.
    11. Rob Aalbers & Marjon Ruijter & Kees Oosterlee, 2014. "The social discount rate under a stochastic A2 scenario," CPB Discussion Paper 296, CPB Netherlands Bureau for Economic Policy Analysis.
    12. Jun Cheng & Jin Zhang, 2012. "Analytical pricing of American options," Review of Derivatives Research, Springer, vol. 15(2), pages 157-192, July.
    13. Carl Chiarella & Boda Kang & Gunter H. Meyer, 2010. "The Evaluation Of Barrier Option Prices Under Stochastic Volatility," Research Paper Series 266, Quantitative Finance Research Centre, University of Technology, Sydney.
    14. Lech A. Grzelak & Cornelis W. Oosterlee & Sacha Van Weeren, 2012. "Extension of stochastic volatility equity models with the Hull--White interest rate process," Quantitative Finance, Taylor & Francis Journals, vol. 12(1), pages 89-105, July.
    15. Amirhossein Sobhani & Mariyan Milev, 2017. "A Numerical Method for Pricing Discrete Double Barrier Option by Legendre Multiwavelet," Papers 1703.09129, arXiv.org, revised Mar 2017.
    16. Adrien Genin & Peter Tankov, 2016. "Optimal importance sampling for L\'evy Processes," Papers 1608.04621, arXiv.org.
    17. Laura Ballota & Griselda Deelstra & Grégory Rayée, 2015. "Quanto Implied Correlation in a Multi-Lévy Framework," Working Papers ECARES ECARES 2015-36, ULB -- Universite Libre de Bruxelles.
    18. Alev{s} v{C}ern'y, 2016. "Discrete-Time Quadratic Hedging of Barrier Options in Exponential L\'{e}vy Model," Papers 1603.03747, arXiv.org.
    19. Fei Cong & Cornelis W. Oosterlee, 2017. "Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 433-458, March.
    20. Chunfa Wang, 2017. "Pricing European Options by Stable Fourier-Cosine Series Expansions," Papers 1701.00886, arXiv.org, revised Jan 2017.

  20. Lord, Roger & Fang, Fang & Bervoets, Frank & Oosterlee, Kees, 2007. "A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes," MPRA Paper 1952, University Library of Munich, Germany.

    Cited by:

    1. Kathrin Glau & Mirco Mahlstedt & Christian Potz, 2018. "A new approach for American option pricing: The Dynamic Chebyshev method," Papers 1806.05579, arXiv.org.
    2. Laura Ballotta & Ioannis Kyriakou, 2015. "Convertible bond valuation in a jump diffusion setting with stochastic interest rates," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 115-129, January.
    3. Luca Vincenzo Ballestra, 2018. "Fast and accurate calculation of American option prices," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 399-426, November.
    4. Adam W. Kolkiewicz & Fangyuan Sally Lin, 2017. "Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes," North American Actuarial Journal, Taylor & Francis Journals, vol. 21(3), pages 433-457, July.
    5. Tat Lung Chan, 2017. "Singular Fourier-Pad\'e Series Expansion of European Option Prices," Papers 1706.06709, arXiv.org, revised Nov 2017.
    6. Oleg Kudryavtsev & Antonino Zanette, 2013. "Efficient pricing of swing options in L�vy-driven models," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 627-635, March.
    7. Maximilian Gaß & Kathrin Glau & Mirco Mahlstedt & Maximilian Mair, 2018. "Chebyshev interpolation for parametric option pricing," Finance and Stochastics, Springer, vol. 22(3), pages 701-731, July.
    8. Ioannis Kyriakou & Panos K. Pouliasis & Nikos C. Papapostolou, 2016. "Jumps and stochastic volatility in crude oil prices and advances in average option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1859-1873, December.
    9. Kirkby, J. Lars & Nguyen, Duy & Cui, Zhenyu, 2017. "A unified approach to Bermudan and barrier options under stochastic volatility models with jumps," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 75-100.
    10. Julien Hok & Tat Lung Chan, 2016. "Option pricing with Legendre polynomials," Papers 1610.03086, arXiv.org, revised Mar 2017.
    11. A. S. Hurn & K. A. Lindsay & A. J. McClelland, 2015. "Estimating the Parameters of Stochastic Volatility Models Using Option Price Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(4), pages 579-594, October.
    12. Chen, Ding & Härkönen, Hannu J. & Newton, David P., 2014. "Advancing the universality of quadrature methods to any underlying process for option pricing," Journal of Financial Economics, Elsevier, vol. 114(3), pages 600-612.
    13. Wendong Zheng & Chi Hung Yuen & Yue Kuen Kwok, 2016. "Recursive Algorithms For Pricing Discrete Variance Options And Volatility Swaps Under Time-Changed Lévy Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-29, March.
    14. Tat Lung Chan & Nicholas Hale, 2018. "Hedging and Pricing European-type, Early-Exercise and Discrete Barrier Options using Algorithm for the Convolution of Legendre Series," Papers 1811.09257, arXiv.org, revised May 2019.
    15. Fang, Fang & Oosterlee, Kees, 2008. "A Novel Pricing Method For European Options Based On Fourier-Cosine Series Expansions," MPRA Paper 7700, University Library of Munich, Germany.
    16. Peter A. Forsyth & George Labahn, 2017. "$\epsilon$-Monotone Fourier Methods for Optimal Stochastic Control in Finance," Papers 1710.08450, arXiv.org, revised Apr 2018.
    17. Weilong Fu & Ali Hirsa, 2019. "A fast method for pricing American options under the variance gamma model," Papers 1903.07519, arXiv.org.
    18. Fusai, Gianluca & Germano, Guido & Marazzina, Daniele, 2016. "Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options," European Journal of Operational Research, Elsevier, vol. 251(1), pages 124-134.
    19. Zineb El Filali Ech-Chafiq & Pierre Henry-Labordere & J'er^ome Lelong, 2021. "Pricing Bermudan options using regression trees/random forests," Papers 2201.02587, arXiv.org, revised Jun 2023.
    20. Ruggero Caldana & Gianluca Fusai & Alessandro Gnoatto & Martino Grasselli, 2016. "General closed-form basket option pricing bounds," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 535-554, April.
    21. Sesana, Debora & Marazzina, Daniele & Fusai, Gianluca, 2014. "Pricing exotic derivatives exploiting structure," European Journal of Operational Research, Elsevier, vol. 236(1), pages 369-381.
    22. Sebastian Becker & Patrick Cheridito & Arnulf Jentzen & Timo Welti, 2019. "Solving high-dimensional optimal stopping problems using deep learning," Papers 1908.01602, arXiv.org, revised Aug 2021.
    23. Stavros J. Sioutis, 2017. "Calibration and Filtering of Exponential L\'evy Option Pricing Models," Papers 1705.04780, arXiv.org.
    24. Ali Hirsa & Weilong Fu, 2020. "An unsupervised deep learning approach in solving partial integro-differential equations," Papers 2006.15012, arXiv.org, revised Dec 2020.
    25. Andrey Itkin, 2023. "The ATM implied skew in the ADO-Heston model," Papers 2309.15044, arXiv.org.
    26. Ales Cerny & Ioannis Kyriakou, 2010. "An improved convolution algorithm for discretely sampled Asian options," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 381-389.
    27. A S Hurn & Kenenth A Lindsay & Andrew McClelland, 2013. "On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options," NCER Working Paper Series 90, National Centre for Econometric Research.
    28. Peter Carr & Andrey Itkin, 2019. "ADOL - Markovian approximation of rough lognormal model," Papers 1904.09240, arXiv.org.
    29. Tim Leung & Marco Santoli, 2014. "Accounting for Earnings Announcements in the Pricing of Equity Options," Papers 1412.8414, arXiv.org, revised Apr 2015.
    30. Anastasia Borovykh & Cornelis W. Oosterlee & Andrea Pascucci, 2016. "Pricing Bermudan options under local L\'evy models with default," Papers 1604.08735, arXiv.org.
    31. Xu Guo & Yutian Li, 2016. "Valuation of American options under the CGMY model," Quantitative Finance, Taylor & Francis Journals, vol. 16(10), pages 1529-1539, October.
    32. Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2016. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps," Swiss Finance Institute Research Paper Series 16-73, Swiss Finance Institute.
    33. Zineb El Filali Ech-Chafiq & Pierre Henry Labordère & Jérôme Lelong, 2023. "Pricing Bermudan options using regression trees/random forests," Post-Print hal-03436046, HAL.
    34. Andrey Itkin, 2014. "Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps," Papers 1405.6111, arXiv.org, revised May 2014.
    35. Imai Junichi, 2013. "Comparison of random number generators via Fourier transform," Monte Carlo Methods and Applications, De Gruyter, vol. 19(3), pages 237-259, October.
    36. Alexander Kushpel, 2014. "Pricing of basket options I," Papers 1401.1856, arXiv.org.
    37. D. J. Manuge & P. T. Kim, 2014. "A fast Fourier transform method for Mellin-type option pricing," Papers 1403.3756, arXiv.org, revised Mar 2014.
    38. Jan Posp'iv{s}il & Vladim'ir v{S}v'igler, 2019. "Isogeometric analysis in option pricing," Papers 1910.00258, arXiv.org.
    39. Adrien Genin & Peter Tankov, 2016. "Optimal importance sampling for L\'evy Processes," Papers 1608.04621, arXiv.org.
    40. Laura Ballota & Griselda Deelstra & Grégory Rayée, 2015. "Quanto Implied Correlation in a Multi-Lévy Framework," Working Papers ECARES ECARES 2015-36, ULB -- Universite Libre de Bruxelles.
    41. Tim Leung & Haohua Wan, 2015. "ESO Valuation with Job Termination Risk and Jumps in Stock Price," Papers 1504.08073, arXiv.org.
    42. Min Huang & Guo Luo, 2019. "A simple and efficient numerical method for pricing discretely monitored early-exercise options," Papers 1905.13407, arXiv.org, revised Jun 2019.
    43. Tat Lung & Chan, 2019. "An SFP--FCC Method for Pricing and Hedging Early-exercise Options under L\'evy Processes," Papers 1909.07319, arXiv.org.
    44. João Pedro Vidal Nunes & Tiago Ramalho Viegas Alcaria, 2016. "Valuation of forward start options under affine jump-diffusion models," Quantitative Finance, Taylor & Francis Journals, vol. 16(5), pages 727-747, May.
    45. Alexander Kushpel, 2015. "Pricing of high-dimensional options," Papers 1510.07221, arXiv.org.
    46. Fang, Fang & Oosterlee, Kees, 2008. "Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions," MPRA Paper 9248, University Library of Munich, Germany.
    47. Fabi'an Crocce & Juho Happola & Jonas Kiessling & Ra'ul Tempone, 2015. "Error analysis in Fourier methods for option pricing," Papers 1503.00019, arXiv.org, revised Nov 2015.

Articles

  1. Shuaiqiang Liu & Lech A. Grzelak & Cornelis W. Oosterlee, 2022. "The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations," Risks, MDPI, vol. 10(3), pages 1-27, February.
    See citations under working paper version above.
  2. Andersson, Kristoffer & Oosterlee, Cornelis W., 2021. "A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options," Applied Mathematics and Computation, Elsevier, vol. 408(C).
    See citations under working paper version above.
  3. Boonstra, Boris C. & Oosterlee, Cornelis W., 2021. "Valuation of electricity storage contracts using the COS method," Applied Mathematics and Computation, Elsevier, vol. 410(C).
    See citations under working paper version above.
  4. van der Zwaard, Thomas & Grzelak, Lech A. & Oosterlee, Cornelis W., 2021. "A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting," Applied Mathematics and Computation, Elsevier, vol. 391(C).
    See citations under working paper version above.
  5. Salvador, Beatriz & Oosterlee, Cornelis W., 2021. "Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model''," Applied Mathematics and Computation, Elsevier, vol. 406(C).

    Cited by:

    1. Ludovic Goudenege & Andrea Molent & Antonino Zanette, 2022. "Computing XVA for American basket derivatives by Machine Learning techniques," Papers 2209.06485, arXiv.org.
    2. Bianca Reichert & Adriano Mendon a Souza, 2022. "Can the Heston Model Forecast Energy Generation? A Systematic Literature Review," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 289-295.
    3. Joel P. Villarino & 'Alvaro Leitao & Jos'e A. Garc'ia-Rodr'iguez, 2022. "Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk," Papers 2210.02175, arXiv.org.

  6. Andersson, Kristoffer & Oosterlee, Cornelis W., 2021. "Deep learning for CVA computations of large portfolios of financial derivatives," Applied Mathematics and Computation, Elsevier, vol. 409(C).
    See citations under working paper version above.
  7. Salvador, Beatriz & Oosterlee, Cornelis W., 2021. "Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model," Applied Mathematics and Computation, Elsevier, vol. 391(C).

    Cited by:

    1. Ludovic Goudenege & Andrea Molent & Antonino Zanette, 2022. "Computing XVA for American basket derivatives by Machine Learning techniques," Papers 2209.06485, arXiv.org.
    2. Bianca Reichert & Adriano Mendon a Souza, 2022. "Can the Heston Model Forecast Energy Generation? A Systematic Literature Review," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 289-295.
    3. Joel P. Villarino & 'Alvaro Leitao & Jos'e A. Garc'ia-Rodr'iguez, 2022. "Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk," Papers 2210.02175, arXiv.org.

  8. Anthonie W. Van Der Stoep & Lech A. Grzelak & Cornelis W. Oosterlee, 2020. "Collocating Volatility: A Competitive Alternative To Stochastic Local Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(06), pages 1-42, September.

    Cited by:

    1. Lech A. Grzelak & Juliusz Jablecki & Dariusz Gatarek, 2022. "Efficient Pricing and Calibration of High-Dimensional Basket Options," Papers 2206.09877, arXiv.org.

  9. Fabien Floc’h & Cornelis W. Oosterlee, 2019. "Model-free stochastic collocation for an arbitrage-free implied volatility: Part I," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 679-714, December.

    Cited by:

    1. Fabien Floc’h & Cornelis W. Oosterlee, 2019. "Model-free stochastic collocation for an arbitrage-free implied volatility: Part I," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 679-714, December.
    2. Fabien Le Floc'h, 2020. "An arbitrage-free interpolation of class $C^2$ for option prices," Papers 2004.08650, arXiv.org, revised May 2020.

  10. Shuaiqiang Liu & Cornelis W. Oosterlee & Sander M. Bohte, 2019. "Pricing Options and Computing Implied Volatilities using Neural Networks," Risks, MDPI, vol. 7(1), pages 1-22, February.
    See citations under working paper version above.
  11. L. A. Grzelak & J. A. S. Witteveen & M. Suárez-Taboada & C. W. Oosterlee, 2019. "The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions," Quantitative Finance, Taylor & Francis Journals, vol. 19(2), pages 339-356, February.

    Cited by:

    1. K. B. Gubbels & J. Y. Ypma & C. W. Oosterlee, 2023. "Principal Component Copulas for Capital Modelling," Papers 2312.13195, arXiv.org.
    2. Pingping Zeng & Ziqing Xu & Pingping Jiang & Yue Kuen Kwok, 2023. "Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 842-890, July.
    3. Leonardo Perotti & Lech A. Grzelak, 2021. "Fast Sampling from Time-Integrated Bridges using Deep Learning," Papers 2111.13901, arXiv.org.
    4. Shuaiqiang Liu & Lech A. Grzelak & Cornelis W. Oosterlee, 2022. "The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations," Risks, MDPI, vol. 10(3), pages 1-27, February.
    5. Lech A. Grzelak & Juliusz Jablecki & Dariusz Gatarek, 2022. "Efficient Pricing and Calibration of High-Dimensional Basket Options," Papers 2206.09877, arXiv.org.
    6. Leonardo Perotti & Lech A. Grzelak, 2022. "On Pricing of Discrete Asian and Lookback Options under the Heston Model," Papers 2211.03638, arXiv.org, revised Feb 2024.
    7. Grzelak, Lech A., 2022. "Sparse grid method for highly efficient computation of exposures for xVA," Applied Mathematics and Computation, Elsevier, vol. 434(C).
    8. Lech A. Grzelak, 2022. "On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500," Papers 2208.12518, arXiv.org.
    9. Shuaiqiang Liu & Graziana Colonna & Lech A. Grzelak & Cornelis W. Oosterlee, 2023. "GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations," Papers 2302.05170, arXiv.org.
    10. Lech A. Grzelak, 2022. "Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities," Papers 2211.05014, arXiv.org.
    11. George Hong, 2020. "Skewing Quanto with Simplicity," Papers 2009.02566, arXiv.org.

  12. Fontanari, Andrea & Cirillo, Pasquale & Oosterlee, Cornelis W., 2018. "From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 13-29.

    Cited by:

    1. Amparo Ba'illo & Javier C'arcamo & Carlos Mora-Corral, 2021. "Extremal points of Lorenz curves and applications to inequality analysis," Papers 2103.03286, arXiv.org.
    2. Fontanari Andrea & Cirillo Pasquale & Oosterlee Cornelis W., 2020. "Lorenz-generated bivariate Archimedean copulas," Dependence Modeling, De Gruyter, vol. 8(1), pages 186-209, January.
    3. Fontanari, Andrea & Taleb, Nassim Nicholas & Cirillo, Pasquale, 2018. "Gini estimation under infinite variance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 256-269.

  13. Marcel T. P. Van Dijk & Cornelis S. L. De Graaf & Cornelis W. Oosterlee, 2018. "Between ℙ and ℚ: The ℙ ℚ Measure for Pricing in Asset Liability Management," JRFM, MDPI, vol. 11(4), pages 1-23, October.

    Cited by:

    1. Lars Stentoft, 2020. "Computational Finance," JRFM, MDPI, vol. 13(7), pages 1-4, July.

  14. Leitao, Álvaro & Oosterlee, Cornelis W. & Ortiz-Gracia, Luis & Bohte, Sander M., 2018. "On the data-driven COS method," Applied Mathematics and Computation, Elsevier, vol. 317(C), pages 68-84.

    Cited by:

    1. Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2021. "A data-driven framework for consistent financial valuation and risk measurement," European Journal of Operational Research, Elsevier, vol. 289(1), pages 381-398.
    2. Kirkby, J. Lars & Leitao, Álvaro & Nguyen, Duy, 2021. "Nonparametric density estimation and bandwidth selection with B-spline bases: A novel Galerkin method," Computational Statistics & Data Analysis, Elsevier, vol. 159(C).
    3. Junike, Gero & Pankrashkin, Konstantin, 2022. "Precise option pricing by the COS method—How to choose the truncation range," Applied Mathematics and Computation, Elsevier, vol. 421(C).
    4. Tobias Behrens & Gero Junike, 2023. "Greeks' pitfalls for the COS method in the Laplace model," Papers 2306.08421, arXiv.org, revised Jul 2023.
    5. Wenguang Yu & Yaodi Yong & Guofeng Guan & Yujuan Huang & Wen Su & Chaoran Cui, 2019. "Valuing Guaranteed Minimum Death Benefits by Cosine Series Expansion," Mathematics, MDPI, vol. 7(9), pages 1-15, September.
    6. Gero Junike, 2023. "On the number of terms in the COS method for European option pricing," Papers 2303.16012, arXiv.org, revised Mar 2024.
    7. Yanchun Zhao & Mengzhu Zhang & Qian Ni & Xuhui Wang, 2023. "Adaptive Nonparametric Density Estimation with B-Spline Bases," Mathematics, MDPI, vol. 11(2), pages 1-12, January.
    8. Yang, Yang & Su, Wen & Zhang, Zhimin, 2019. "Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion," Statistics & Probability Letters, Elsevier, vol. 146(C), pages 147-155.
    9. Gero Junike & Konstantin Pankrashkin, 2021. "Precise option pricing by the COS method--How to choose the truncation range," Papers 2109.01030, arXiv.org, revised Jan 2022.

  15. S. N. Singor & A. Boer & J. S. C. Alberts & C. W. Oosterlee, 2017. "On the modelling of nested risk-neutral stochastic processes with applications in insurance," Applied Mathematical Finance, Taylor & Francis Journals, vol. 24(4), pages 302-336, July.

    Cited by:

    1. Marcel T. P. Van Dijk & Cornelis S. L. De Graaf & Cornelis W. Oosterlee, 2018. "Between ℙ and ℚ: The ℙ ℚ Measure for Pricing in Asset Liability Management," JRFM, MDPI, vol. 11(4), pages 1-23, October.

  16. Anthonie W. van der Stoep & Lech A. Grzelak & Cornelis W. Oosterlee, 2017. "A novel Monte Carlo approach to hybrid local volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 17(9), pages 1347-1366, September.

    Cited by:

    1. Yang, Ben-Zhang & Yue, Jia & Wang, Ming-Hui & Huang, Nan-Jing, 2019. "Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity," Applied Mathematics and Computation, Elsevier, vol. 355(C), pages 73-84.
    2. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2022. "Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments," Papers 2209.12222, arXiv.org, revised Mar 2023.

  17. Álvaro Leitao & Lech A. Grzelak & Cornelis W. Oosterlee, 2017. "On an efficient multiple time step Monte Carlo simulation of the SABR model," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1549-1565, October.

    Cited by:

    1. Leonardo Perotti & Lech A. Grzelak, 2021. "Fast Sampling from Time-Integrated Bridges using Deep Learning," Papers 2111.13901, arXiv.org.
    2. Dan Pirjol & Lingjiong Zhu, 2020. "Asymptotics of the time-discretized log-normal SABR model: The implied volatility surface," Papers 2001.09850, arXiv.org, revised Mar 2020.
    3. Jaehyuk Choi & Chenru Liu & Byoung Ki Seo, 2018. "Hyperbolic normal stochastic volatility model," Papers 1809.04035, arXiv.org.
    4. Julio Guerrero & Giuseppe Orlando, 2022. "Stochastic Local Volatility models and the Wei-Norman factorization method," Papers 2201.11241, arXiv.org.
    5. Leitao, Álvaro & Oosterlee, Cornelis W. & Ortiz-Gracia, Luis & Bohte, Sander M., 2018. "On the data-driven COS method," Applied Mathematics and Computation, Elsevier, vol. 317(C), pages 68-84.
    6. Blanka Horvath & Aitor Muguruza & Mehdi Tomas, 2019. "Deep Learning Volatility," Papers 1901.09647, arXiv.org, revised Aug 2019.
    7. Christian Bayer & Blanka Horvath & Aitor Muguruza & Benjamin Stemper & Mehdi Tomas, 2019. "On deep calibration of (rough) stochastic volatility models," Papers 1908.08806, arXiv.org.

  18. Qian Feng & Cornelis W. Oosterlee, 2017. "Computing Credit Valuation Adjustment For Bermudan Options With Wrong Way Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-31, December.

    Cited by:

    1. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2022. "Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments," Papers 2209.12222, arXiv.org, revised Mar 2023.

  19. F. Cong & C. W. Oosterlee, 2017. "On Robust Multi-Period Pre-Commitment And Time-Consistent Mean-Variance Portfolio Optimization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(07), pages 1-26, November.

    Cited by:

    1. Panos Xidonas & Ralph Steuer & Christis Hassapis, 2020. "Robust portfolio optimization: a categorized bibliographic review," Annals of Operations Research, Springer, vol. 292(1), pages 533-552, September.
    2. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2022. "Robust portfolio selection problems: a comprehensive review," Operational Research, Springer, vol. 22(4), pages 3203-3264, September.
    3. van Staden, Pieter M. & Dang, Duy-Minh & Forsyth, Peter A., 2021. "The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors," European Journal of Operational Research, Elsevier, vol. 289(2), pages 774-792.
    4. Hanwen Zhang & Duy-Minh Dang, 2023. "A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models," Papers 2309.05977, arXiv.org.
    5. Kristoffer Andersson & Cornelis W. Oosterlee, 2023. "D-TIPO: Deep time-inconsistent portfolio optimization with stocks and options," Papers 2308.10556, arXiv.org, revised Sep 2023.
    6. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2021. "Robust Portfolio Selection Problems: A Comprehensive Review," Papers 2103.13806, arXiv.org, revised Jan 2022.
    7. Masashi Ieda, 2022. "Continuous-Time Portfolio Optimization for Absolute Return Funds," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(4), pages 675-696, December.

  20. Fei Cong & Cornelis W. Oosterlee, 2017. "Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 433-458, March.

    Cited by:

    1. Zhu, Yichen & Escobar-Anel, Marcos, 2022. "Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models," Applied Mathematics and Computation, Elsevier, vol. 418(C).
    2. Yichen Zhu & Marcos Escobar-Anel & Matt Davison, 2023. "A Polynomial-Affine Approximation for Dynamic Portfolio Choice," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 1177-1213, October.
    3. Yichen Zhu & Marcos Escobar-Anel, 2021. "A Neural Network Monte Carlo Approximation for Expected Utility Theory," JRFM, MDPI, vol. 14(7), pages 1-18, July.
    4. Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2018. "Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization," Papers 1803.11467, arXiv.org, revised Sep 2018.
    5. Fahrenwaldt, Matthias A. & Sun, Chaofan, 2020. "Expected utility approximation and portfolio optimisation," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 301-314.
    6. Rongju Zhang & Nicolas Langrené & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2019. "Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method," Post-Print hal-02909342, HAL.
    7. Matt Davison & Marcos Escobar-Anel & Yichen Zhu, 2022. "Optimal market completion through financial derivatives with applications to volatility risk," Papers 2202.08148, arXiv.org.

  21. Leitao, Álvaro & Grzelak, Lech A. & Oosterlee, Cornelis W., 2017. "On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options," Applied Mathematics and Computation, Elsevier, vol. 293(C), pages 461-479.

    Cited by:

    1. Kirkby, J. Lars & Nguyen, Dang H. & Nguyen, Duy, 2020. "A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions," Applied Mathematics and Computation, Elsevier, vol. 386(C).
    2. Shuaiqiang Liu & Lech A. Grzelak & Cornelis W. Oosterlee, 2022. "The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations," Risks, MDPI, vol. 10(3), pages 1-27, February.
    3. Julio Guerrero & Giuseppe Orlando, 2022. "Stochastic Local Volatility models and the Wei-Norman factorization method," Papers 2201.11241, arXiv.org.
    4. Leitao, Álvaro & Oosterlee, Cornelis W. & Ortiz-Gracia, Luis & Bohte, Sander M., 2018. "On the data-driven COS method," Applied Mathematics and Computation, Elsevier, vol. 317(C), pages 68-84.

  22. Cong, F. & Oosterlee, C.W., 2016. "On pre-commitment aspects of a time-consistent strategy for a mean-variance investor," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 178-193.

    Cited by:

    1. Van Staden, Pieter M. & Dang, Duy-Minh & Forsyth, Peter A., 2018. "Time-consistent mean–variance portfolio optimization: A numerical impulse control approach," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 9-28.
    2. Pun, Chi Seng, 2018. "Time-consistent mean-variance portfolio selection with only risky assets," Economic Modelling, Elsevier, vol. 75(C), pages 281-292.
    3. Bosserhoff, Frank & Stadje, Mitja, 2021. "Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 130-146.
    4. Balter, Anne G. & Mahayni, Antje & Schweizer, Nikolaus, 2021. "Time-consistency of optimal investment under smooth ambiguity," European Journal of Operational Research, Elsevier, vol. 293(2), pages 643-657.
    5. van Staden, Pieter M. & Dang, Duy-Minh & Forsyth, Peter A., 2021. "The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors," European Journal of Operational Research, Elsevier, vol. 289(2), pages 774-792.
    6. Hanwen Zhang & Duy-Minh Dang, 2023. "A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models," Papers 2309.05977, arXiv.org.
    7. Ishak Alia & Farid Chighoub & Nabil Khelfallah & Josep Vives, 2021. "Time-Consistent Investment and Consumption Strategies under a General Discount Function," JRFM, MDPI, vol. 14(2), pages 1-27, February.

  23. Patrik Karlsson & Shashi Jain & Cornelis W. Oosterlee, 2016. "Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method," Applied Mathematical Finance, Taylor & Francis Journals, vol. 23(3), pages 175-196, May.

    Cited by:

    1. Kathrin Glau & Ricardo Pachon & Christian Potz, 2019. "Speed-up credit exposure calculations for pricing and risk management," Papers 1912.01280, arXiv.org.
    2. Ludovic Goudenège & Andrea Molent & Antonino Zanette, 2020. "Computing credit valuation adjustment solving coupled PIDEs in the Bates model," Computational Management Science, Springer, vol. 17(2), pages 163-178, June.
    3. Gijs Mast & Xiaoyu Shen & Fang Fang, 2023. "Fast calculation of Counterparty Credit exposures and associated sensitivities using fourier series expansion," Papers 2311.12575, arXiv.org.
    4. Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver - A neural network based counterparty credit risk management framework," Working Papers 07/2020, University of Verona, Department of Economics.
    5. Shi, Ruoshi & Zhao, Yanlong & Bao, Ying & Peng, Cheng, 2022. "Sensitivity-based Conditional Value at Risk (SCVaR): An efficient measurement of credit exposure for options," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    6. Li, Shuang & Peng, Cheng & Bao, Ying & Zhao, Yanlong, 2020. "Explicit expressions to counterparty credit exposures for Forward and European Option," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    7. Ludovic Gouden`ege & Andrea Molent & Antonino Zanette, 2018. "Computing Credit Valuation Adjustment solving coupled PIDEs in the Bates model," Papers 1809.05328, arXiv.org.

  24. Cong, F. & Oosterlee, C.W., 2016. "Multi-period mean–variance portfolio optimization based on Monte-Carlo simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 64(C), pages 23-38.

    Cited by:

    1. Zhu, Yichen & Escobar-Anel, Marcos, 2022. "Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models," Applied Mathematics and Computation, Elsevier, vol. 418(C).
    2. Zhiyi Shen & Chengguo Weng, 2019. "A Backward Simulation Method for Stochastic Optimal Control Problems," Papers 1901.06715, arXiv.org.
    3. P. A. Forsyth & K. R. Vetzal, 2017. "Robust Asset Allocation For Long-Term Target-Based Investing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-32, May.
    4. Vahidreza Yousefi & Siamak Haji Yakhchali & Jolanta Tamošaitienė, 2019. "Application of Duration Measure in Quantifying the Sensitivity of Project Returns to Changes in Discount Rates," Administrative Sciences, MDPI, vol. 9(1), pages 1-14, February.
    5. Tao Chen & Michael Ludkovski, 2019. "A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging," Papers 1912.00244, arXiv.org, revised May 2020.
    6. Peter A. Forsyth & George Labahn, 2017. "$\epsilon$-Monotone Fourier Methods for Optimal Stochastic Control in Finance," Papers 1710.08450, arXiv.org, revised Apr 2018.
    7. Yuqin Sun & Yungao Wu & Gejirifu De, 2023. "A Novel Black-Litterman Model with Time-Varying Covariance for Optimal Asset Allocation of Pension Funds," Mathematics, MDPI, vol. 11(6), pages 1-21, March.
    8. Michael Ludkovski & Aditya Maheshwari, 2018. "Simulation Methods for Stochastic Storage Problems: A Statistical Learning Perspective," Papers 1803.11309, arXiv.org.
    9. Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2016. "Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach," Papers 1610.07694, arXiv.org, revised Jun 2019.
    10. Mahdi Massahi & Masoud Mahootchi & Alireza Arshadi Khamseh, 2020. "Development of an efficient cluster-based portfolio optimization model under realistic market conditions," Empirical Economics, Springer, vol. 59(5), pages 2423-2442, November.
    11. Cong, F. & Oosterlee, C.W., 2016. "On pre-commitment aspects of a time-consistent strategy for a mean-variance investor," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 178-193.
    12. Areski Cousin & Jérôme Lelong & Tom Picard, 2023. "Mean-variance dynamic portfolio allocation with transaction costs: a Wiener chaos expansion approach," Working Papers hal-04086378, HAL.
    13. Li, Yuying & Forsyth, Peter A., 2019. "A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 189-204.
    14. Areski Cousin & J'er^ome Lelong & Tom Picard, 2023. "Mean-variance dynamic portfolio allocation with transaction costs: a Wiener chaos expansion approach," Papers 2305.16152, arXiv.org, revised Jun 2023.
    15. Kristoffer Andersson & Cornelis W. Oosterlee, 2023. "D-TIPO: Deep time-inconsistent portfolio optimization with stocks and options," Papers 2308.10556, arXiv.org, revised Sep 2023.
    16. Shiqi Gong & Shuaiqiang Liu & Danny D. Sun, 2023. "Optimal Market Making in the Chinese Stock Market: A Stochastic Control and Scenario Analysis," Papers 2306.02764, arXiv.org.
    17. Gurdal Ertek & Aysha Al-Kaabi & Aktham Issa Maghyereh, 2022. "Analytical Modeling and Empirical Analysis of Binary Options Strategies," Future Internet, MDPI, vol. 14(7), pages 1-23, July.
    18. Erdinc Akyildirim & Matteo Gambara & Josef Teichmann & Syang Zhou, 2023. "Randomized Signature Methods in Optimal Portfolio Selection," Papers 2312.16448, arXiv.org.
    19. Fei Cong & Cornelis W. Oosterlee, 2017. "Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 433-458, March.

  25. Patrik Karlsson & Shashi Jain & Cornelis W. Oosterlee, 2016. "Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-22, March.

    Cited by:

    1. Griselda Deelstra & Lech A. Grzelak & Felix L. Wolf, 2022. "Accelerated Computations of Sensitivities for xVA," Papers 2211.17026, arXiv.org, revised Jan 2024.

  26. Jain, Shashi & Oosterlee, Cornelis W., 2015. "The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks," Applied Mathematics and Computation, Elsevier, vol. 269(C), pages 412-431.

    Cited by:

    1. Kathrin Glau & Mirco Mahlstedt & Christian Potz, 2018. "A new approach for American option pricing: The Dynamic Chebyshev method," Papers 1806.05579, arXiv.org.
    2. Kirkby, J. Lars & Nguyen, Dang H. & Nguyen, Duy, 2020. "A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions," Applied Mathematics and Computation, Elsevier, vol. 386(C).
    3. Zhu, Yichen & Escobar-Anel, Marcos, 2022. "Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models," Applied Mathematics and Computation, Elsevier, vol. 418(C).
    4. Kathrin Glau & Ricardo Pachon & Christian Potz, 2019. "Speed-up credit exposure calculations for pricing and risk management," Papers 1912.01280, arXiv.org.
    5. Patrik Karlsson & Shashi Jain & Cornelis W. Oosterlee, 2016. "Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-22, March.
    6. Tang, Kin-Boon & Zheng, Wen-Jie & Lin, Chao-Yang & Lin, Shih-Kuei, 2021. "Valuation of callable accreting interest rate swaps: Least squares Monte-Carlo method under Hull-White interest rate model," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    7. Yichen Zhu & Marcos Escobar-Anel & Matt Davison, 2023. "A Polynomial-Affine Approximation for Dynamic Portfolio Choice," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 1177-1213, October.
    8. Andersson, Kristoffer & Oosterlee, Cornelis W., 2021. "A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options," Applied Mathematics and Computation, Elsevier, vol. 408(C).
    9. Kristoffer Andersson & Cornelis W. Oosterlee, 2020. "Deep learning for CVA computations of large portfolios of financial derivatives," Papers 2010.13843, arXiv.org.
    10. Vikranth Lokeshwar & Vikram Bhardawaj & Shashi Jain, 2019. "Neural network for pricing and universal static hedging of contingent claims," Papers 1911.11362, arXiv.org.
    11. Ludovic Goudenège & Andrea Molent & Antonino Zanette, 2020. "Computing credit valuation adjustment solving coupled PIDEs in the Bates model," Computational Management Science, Springer, vol. 17(2), pages 163-178, June.
    12. Calypso Herrera & Florian Krach & Pierre Ruyssen & Josef Teichmann, 2021. "Optimal Stopping via Randomized Neural Networks," Papers 2104.13669, arXiv.org, revised Dec 2023.
    13. Carlos Esparcia & Elena Ibañez & Francisco Jareño, 2020. "Volatility Timing: Pricing Barrier Options on DAX XETRA Index," Mathematics, MDPI, vol. 8(5), pages 1-25, May.
    14. Yichen Zhu & Marcos Escobar-Anel, 2021. "A Neural Network Monte Carlo Approximation for Expected Utility Theory," JRFM, MDPI, vol. 14(7), pages 1-18, July.
    15. Michael Ludkovski & Aditya Maheshwari, 2018. "Simulation Methods for Stochastic Storage Problems: A Statistical Learning Perspective," Papers 1803.11309, arXiv.org.
    16. Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2018. "Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization," Papers 1803.11467, arXiv.org, revised Sep 2018.
    17. Karel J. in’t Hout & Jacob Snoeijer, 2021. "Numerical Valuation of American Basket Options via Partial Differential Complementarity Problems," Mathematics, MDPI, vol. 9(13), pages 1-17, June.
    18. Ivan Guo & Nicolas Langren'e & Jiahao Wu, 2023. "Simultaneous upper and lower bounds of American option prices with hedging via neural networks," Papers 2302.12439, arXiv.org.
    19. Shi, Ruoshi & Zhao, Yanlong & Bao, Ying & Peng, Cheng, 2022. "Sensitivity-based Conditional Value at Risk (SCVaR): An efficient measurement of credit exposure for options," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    20. Pan, Zeyu & Gao, Yin & Yuan, Lin, 2021. "Bermudan options pricing formulas in uncertain financial markets," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
    21. Purba Banerjee & Vasudeva Murthy & Shashi Jain, 2024. "Method of Lines for Valuation and Sensitivities of Bermudan Options," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 245-270, January.
    22. Christian Bender & Nikolaus Schweizer, 2019. "`Regression Anytime' with Brute-Force SVD Truncation," Papers 1908.08264, arXiv.org, revised Oct 2020.
    23. Rongju Zhang & Nicolas Langrené & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2019. "Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method," Post-Print hal-02909342, HAL.
    24. Lukas Gonon, 2022. "Deep neural network expressivity for optimal stopping problems," Papers 2210.10443, arXiv.org.
    25. Karel in 't Hout & Jacob Snoeijer, 2021. "Numerical valuation of American basket options via partial differential complementarity problems," Papers 2106.01200, arXiv.org.
    26. Ruimeng Hu, 2019. "Deep Learning for Ranking Response Surfaces with Applications to Optimal Stopping Problems," Papers 1901.03478, arXiv.org, revised Mar 2020.
    27. Anastasia Borovykh & Andrea Pascucci & Cornelis W. Oosterlee, 2019. "Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models," Papers 1905.01706, arXiv.org.
    28. Lokeshwar, Vikranth & Bharadwaj, Vikram & Jain, Shashi, 2022. "Explainable neural network for pricing and universal static hedging of contingent claims," Applied Mathematics and Computation, Elsevier, vol. 417(C).
    29. Qian Feng & Cornelis W. Oosterlee, 2017. "Computing Credit Valuation Adjustment For Bermudan Options With Wrong Way Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-31, December.
    30. Ludovic Gouden`ege & Andrea Molent & Antonino Zanette, 2018. "Computing Credit Valuation Adjustment solving coupled PIDEs in the Bates model," Papers 1809.05328, arXiv.org.
    31. Fei Cong & Cornelis W. Oosterlee, 2017. "Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 433-458, March.
    32. Sebastian Becker & Patrick Cheridito & Arnulf Jentzen, 2020. "Pricing and Hedging American-Style Options with Deep Learning," JRFM, MDPI, vol. 13(7), pages 1-12, July.
    33. Purba Banerjee & Vasudeva Murthy & Shashi Jain, 2021. "Method of lines for valuation and sensitivities of Bermudan options," Papers 2112.01287, arXiv.org.
    34. Matt Davison & Marcos Escobar-Anel & Yichen Zhu, 2022. "Optimal market completion through financial derivatives with applications to volatility risk," Papers 2202.08148, arXiv.org.

  27. Anthonie W. Van Der Stoep & Lech A. Grzelak & Cornelis W. Oosterlee, 2015. "The Time-Dependent Fx-Sabr Model: Efficient Calibration Based On Effective Parameters," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(06), pages 1-38.

    Cited by:

    1. Marcos Escobar & Christoph Gschnaidtner, 2018. "A multivariate stochastic volatility model with applications in the foreign exchange market," Review of Derivatives Research, Springer, vol. 21(1), pages 1-43, April.

  28. Anthonie W. Van Der Stoep & Lech A. Grzelak & Cornelis W. Oosterlee, 2014. "The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(07), pages 1-30.

    Cited by:

    1. Paolo Pigato, 2019. "Extreme at-the-money skew in a local volatility model," Finance and Stochastics, Springer, vol. 23(4), pages 827-859, October.
    2. Akihiro Kaneko, 2023. "Multi-stage Euler-Maruyama methods for backward stochastic differential equations driven by continuous-time Markov chains," Papers 2311.08826, arXiv.org, revised Nov 2023.
    3. Andrei Cozma & Christoph Reisinger, 2015. "Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process," Papers 1601.00919, arXiv.org.
    4. Zhiqiang Zhou & Wei Xu & Alexey Rubtsov, 2024. "Joint calibration of S&P 500 and VIX options under local stochastic volatility models," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 273-310, January.
    5. Maarten Wyns & Karel in 't Hout, 2016. "An adjoint method for the exact calibration of Stochastic Local Volatility models," Papers 1609.00232, arXiv.org.
    6. Misha Beek & Michel Mandjes & Peter Spreij & Erik Winands, 2020. "Regime switching affine processes with applications to finance," Finance and Stochastics, Springer, vol. 24(2), pages 309-333, April.
    7. Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2021. "Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations," European Journal of Operational Research, Elsevier, vol. 290(3), pages 1046-1062.
    8. Maarten Wyns & Jacques Du Toit, 2016. "A Finite Volume - Alternating Direction Implicit Approach for the Calibration of Stochastic Local Volatility Models," Papers 1611.02961, arXiv.org.
    9. Andrei Cozma & Matthieu Mariapragassam & Christoph Reisinger, 2015. "Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets," Papers 1501.06084, arXiv.org, revised Oct 2016.
    10. Kaustav Das & Nicolas Langren'e, 2020. "Explicit approximations of option prices via Malliavin calculus in a general stochastic volatility framework," Papers 2006.01542, arXiv.org, revised Jan 2024.
    11. Andrei Cozma & Christoph Reisinger, 2017. "Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models," Papers 1706.07375, arXiv.org, revised Oct 2018.
    12. Ferreiro-Ferreiro, Ana María & García-Rodríguez, José A. & Souto, Luis & Vázquez, Carlos, 2020. "A new calibration of the Heston Stochastic Local Volatility Model and its parallel implementation on GPUs," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 177(C), pages 467-486.
    13. Sergey Nasekin & Wolfgang Karl Hardle, 2020. "Model-driven statistical arbitrage on LETF option markets," Papers 2009.09713, arXiv.org.
    14. Jingtang Ma & Wensheng Yang & Zhenyu Cui, 2021. "Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models," Papers 2110.08320, arXiv.org, revised Oct 2021.
    15. Julio Guerrero & Giuseppe Orlando, 2022. "Stochastic Local Volatility models and the Wei-Norman factorization method," Papers 2201.11241, arXiv.org.
    16. Ma, Jingtang & Yang, Wensheng & Cui, Zhenyu, 2021. "CTMC integral equation method for American options under stochastic local volatility models," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
    17. Kaustav Das & Nicolas Langren'e, 2018. "Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility," Papers 1812.07803, arXiv.org, revised Oct 2021.
    18. Martino Grasselli & Andrea Mazzoran & Andrea Pallavicini, 2020. "A general framework for a joint calibration of VIX and VXX options," Papers 2012.08353, arXiv.org, revised Jun 2021.
    19. Luca De Gennaro Aquino & Carole Bernard, 2019. "Semi-analytical prices for lookback and barrier options under the Heston model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 715-741, December.
    20. Daniel Guterding & Wolfram Boenkost, 2018. "The Heston stochastic volatility model with piecewise constant parameters - efficient calibration and pricing of window barrier options," Papers 1805.04704, arXiv.org, revised Jan 2019.

  29. Cornelis S. L. De Graaf & Qian Feng & Drona Kandhai & Cornelis W. Oosterlee, 2014. "Efficient Computation Of Exposure Profiles For Counterparty Credit Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(04), pages 1-23.

    Cited by:

    1. Patrik Karlsson & Shashi Jain & Cornelis W. Oosterlee, 2016. "Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-22, March.
    2. Andersson, Kristoffer & Oosterlee, Cornelis W., 2021. "A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options," Applied Mathematics and Computation, Elsevier, vol. 408(C).
    3. Salvador, Beatriz & Oosterlee, Cornelis W., 2021. "Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model''," Applied Mathematics and Computation, Elsevier, vol. 406(C).
    4. Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver - A neural network based counterparty credit risk management framework," Working Papers 07/2020, University of Verona, Department of Economics.
    5. Ludovic Goudenege & Andrea Molent & Antonino Zanette, 2022. "Computing XVA for American basket derivatives by Machine Learning techniques," Papers 2209.06485, arXiv.org.
    6. Salvador, Beatriz & Oosterlee, Cornelis W., 2021. "Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model," Applied Mathematics and Computation, Elsevier, vol. 391(C).
    7. Purba Banerjee & Vasudeva Murthy & Shashi Jain, 2024. "Method of Lines for Valuation and Sensitivities of Bermudan Options," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 245-270, January.
    8. Anastasia Borovykh & Andrea Pascucci & Cornelis W. Oosterlee, 2019. "Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models," Papers 1905.01706, arXiv.org.
    9. Cornelis S. L. de Graaf & Drona Kandhai & Christoph Reisinger, 2016. "Efficient exposure computation by risk factor decomposition," Papers 1608.01197, arXiv.org, revised Feb 2018.
    10. Q. Feng & C. W. Oosterlee, 2014. "Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model," Papers 1412.3623, arXiv.org.
    11. Purba Banerjee & Vasudeva Murthy & Shashi Jain, 2021. "Method of lines for valuation and sensitivities of Bermudan options," Papers 2112.01287, arXiv.org.

  30. Jain, Shashi & Roelofs, Ferry & Oosterlee, Cornelis W., 2014. "Decision-support tool for assessing future nuclear reactor generation portfolios," Energy Economics, Elsevier, vol. 44(C), pages 99-112.

    Cited by:

    1. Juárez-Luna, David, 2019. "Power generation portfolios: A parametric formulation of the efficient frontier," MPRA Paper 94814, University Library of Munich, Germany.
    2. Zhen, Zaili & Lou, Liyun & Tian, Lixin & Gao, Qibing, 2018. "Investment optimization path of NG power generation in China based on carbon value realization and market linkage," Applied Energy, Elsevier, vol. 210(C), pages 241-255.
    3. Salah Ud-Din Khan & Zeyad Almutairi & Meshari Alanazi, 2021. "Techno-Economic Assessment of Fuel Cycle Facility of System Integrated Modular Advanced Reactor (SMART)," Sustainability, MDPI, vol. 13(21), pages 1-11, October.
    4. Cardin, Michel-Alexandre & Zhang, Sizhe & Nuttall, William J., 2017. "Strategic real option and flexibility analysis for nuclear power plants considering uncertainty in electricity demand and public acceptance," Energy Economics, Elsevier, vol. 64(C), pages 226-237.
    5. Petchrompo, Sanyapong & Parlikad, Ajith Kumar, 2019. "A review of asset management literature on multi-asset systems," Reliability Engineering and System Safety, Elsevier, vol. 181(C), pages 181-201.
    6. Juárez-Luna, David, 2020. "Beneficios económicos y ambientales de la energía nuclear [Economic and environmental benefits of nuclear energy]," MPRA Paper 98790, University Library of Munich, Germany.

  31. Jain, Shashi & Roelofs, Ferry & Oosterlee, Cornelis W., 2013. "Valuing modular nuclear power plants in finite time decision horizon," Energy Economics, Elsevier, vol. 36(C), pages 625-636.

    Cited by:

    1. Barbara Glensk & Reinhard Madlener, 2019. "Energiewende @ Risk: On the Continuation of Renewable Power Generation at the End of Public Policy Support," Energies, MDPI, vol. 12(19), pages 1-25, September.
    2. Glensk, Barbara & Madlener, Reinhard, 2019. "The value of enhanced flexibility of gas-fired power plants: A real options analysis," Applied Energy, Elsevier, vol. 251(C), pages 1-1.
    3. Cardin, Michel-Alexandre & Zhang, Sizhe & Nuttall, William J., 2017. "Strategic real option and flexibility analysis for nuclear power plants considering uncertainty in electricity demand and public acceptance," Energy Economics, Elsevier, vol. 64(C), pages 226-237.
    4. Jain, Shashi & Roelofs, Ferry & Oosterlee, Cornelis W., 2014. "Decision-support tool for assessing future nuclear reactor generation portfolios," Energy Economics, Elsevier, vol. 44(C), pages 99-112.
    5. Dong, Zhe & Liu, Miao & Zhang, Zuoyi & Dong, Yujie & Huang, Xiaojin, 2019. "Automatic generation control for the flexible operation of multimodular high temperature gas-cooled reactor plants," Renewable and Sustainable Energy Reviews, Elsevier, vol. 108(C), pages 11-31.

  32. Yu Tian & Ron Rood & Cornelis W. Oosterlee, 2013. "Efficient portfolio valuation incorporating liquidity risk," Quantitative Finance, Taylor & Francis Journals, vol. 13(10), pages 1575-1586, October.

    Cited by:

    1. Hevér, Judit, 2017. "A likviditás és a permanens árhatás szerepe a portfólióértékelésben [The role of liquidity policy and permanent price impact in portfolio valuation]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 594-611.
    2. Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2018. "Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization," Papers 1803.11467, arXiv.org, revised Sep 2018.
    3. Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2016. "Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach," Papers 1610.07694, arXiv.org, revised Jun 2019.
    4. Csóka, Péter & Hevér, Judit, 2018. "Portfolio valuation under liquidity constraints with permanent price impact," Finance Research Letters, Elsevier, vol. 26(C), pages 235-241.

  33. Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W., 2013. "Pricing inflation products with stochastic volatility and stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 286-299.

    Cited by:

    1. Flavia Antonacci & Cristina Costantini & Marco Papi, 2021. "Short-Term Interest Rate Estimation by Filtering in a Model Linking Inflation, the Central Bank and Short-Term Interest Rates," Mathematics, MDPI, vol. 9(10), pages 1-20, May.
    2. Jean-François Bégin, 2016. "Deflation Risk and Implications for Life Insurers," Risks, MDPI, vol. 4(4), pages 1-36, December.
    3. Chiarella, Carl & Da Fonseca, José & Grasselli, Martino, 2014. "Pricing range notes within Wishart affine models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 193-203.
    4. Park, Kyunghyun & Wong, Hoi Ying & Yan, Tingjin, 2023. "Robust retirement and life insurance with inflation risk and model ambiguity," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 1-30.
    5. Henrik Dam & Andrea Macrina & David Skovmand & David Sloth, 2018. "Rational Models for Inflation-Linked Derivatives," Papers 1801.08804, arXiv.org, revised Jul 2020.
    6. Teh Raihana Nazirah Roslan & Wenjun Zhang & Jiling Cao, 2016. "Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure," Papers 1610.09714, arXiv.org, revised Apr 2020.
    7. Liang, Zongxia & Sheng, Wenlong, 2016. "Valuing inflation-linked death benefits under a stochastic volatility framework," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 45-58.
    8. F. Antonacci & C. Costantini & F. D'Ippoliti & M. Papi, 2020. "Inflation, ECB and short-term interest rates: A new model, with calibration to market data," Papers 2010.05462, arXiv.org.

  34. Bin Chen & Cornelis W. Oosterlee & Hans Van Der Weide, 2012. "A Low-Bias Simulation Scheme For The Sabr Stochastic Volatility Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(02), pages 1-37.

    Cited by:

    1. Jaehyuk Choi & Byoung Ki Seo, 2023. "Option pricing under the normal SABR model with Gaussian quadratures," Papers 2301.02797, arXiv.org.
    2. Jaehyuk Choi & Lixin Wu, 2019. "The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model," Papers 1911.13123, arXiv.org, revised Jun 2021.
    3. Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2021. "Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations," European Journal of Operational Research, Elsevier, vol. 290(3), pages 1046-1062.
    4. Ralph Rudd & Thomas A. McWalter & Jorg Kienitz & Eckhard Platen, 2017. "Fast Quantization of Stochastic Volatility Models," Research Paper Series 382, Quantitative Finance Research Centre, University of Technology, Sydney.
    5. Blanka Horvath & Oleg Reichmann, 2018. "Dirichlet Forms and Finite Element Methods for the SABR Model," Papers 1801.02719, arXiv.org.
    6. Jaehyuk Choi & Chenru Liu & Byoung Ki Seo, 2018. "Hyperbolic normal stochastic volatility model," Papers 1809.04035, arXiv.org.
    7. Julio Guerrero & Giuseppe Orlando, 2022. "Stochastic Local Volatility models and the Wei-Norman factorization method," Papers 2201.11241, arXiv.org.
    8. Christian Bayer & Peter Friz & Ronnie Loeffen, 2012. "Semi-closed form cubature and applications to financial diffusion models," Quantitative Finance, Taylor & Francis Journals, vol. 13(5), pages 769-782, October.
    9. Leitao, Álvaro & Oosterlee, Cornelis W. & Ortiz-Gracia, Luis & Bohte, Sander M., 2018. "On the data-driven COS method," Applied Mathematics and Computation, Elsevier, vol. 317(C), pages 68-84.
    10. Leitao, Álvaro & Grzelak, Lech A. & Oosterlee, Cornelis W., 2017. "On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options," Applied Mathematics and Computation, Elsevier, vol. 293(C), pages 461-479.

  35. Lech A. Grzelak & Cornelis W. Oosterlee & Sacha Van Weeren, 2012. "Extension of stochastic volatility equity models with the Hull--White interest rate process," Quantitative Finance, Taylor & Francis Journals, vol. 12(1), pages 89-105, July.

    Cited by:

    1. Ben-Zhang Yang & Xiaoping Lu & Guiyuan Ma & Song-Ping Zhu, 2020. "Robust Portfolio Optimization with Multi-Factor Stochastic Volatility," Journal of Optimization Theory and Applications, Springer, vol. 186(1), pages 264-298, July.
    2. Laura Ballotta & Ioannis Kyriakou, 2015. "Convertible bond valuation in a jump diffusion setting with stochastic interest rates," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 115-129, January.
    3. Chaoqun Ma & Shengjie Yue & Hui Wu & Yong Ma, 2020. "Pricing Vulnerable Options with Stochastic Volatility and Stochastic Interest Rate," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 391-429, August.
    4. O. Samimi & Z. Mardani & S. Sharafpour & F. Mehrdoust, 2017. "LSM Algorithm for Pricing American Option Under Heston–Hull–White’s Stochastic Volatility Model," Computational Economics, Springer;Society for Computational Economics, vol. 50(2), pages 173-187, August.
    5. Sha Lin & Xin-Jiang He, 2022. "Analytically Pricing European Options under a New Two-Factor Heston Model with Regime Switching," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1069-1085, March.
    6. Bilgi Yilmaz, 2018. "Computation of option greeks under hybrid stochastic volatility models via Malliavin calculus," Papers 1806.06061, arXiv.org.
    7. Roman Horsky & Tilman Sayer, 2015. "Joining The Heston And A Three-Factor Short Rate Model: A Closed-Form Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-17, December.
    8. Rehez Ahlip & Laurence A. F. Park & Ante Prodan, 2017. "Pricing currency options in the Heston/CIR double exponential jump-diffusion model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-30, March.
    9. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016. "Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?," Research Paper Series 367, Quantitative Finance Research Centre, University of Technology, Sydney.
    10. Kirkby, J. Lars, 2023. "Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation," European Journal of Operational Research, Elsevier, vol. 305(2), pages 961-978.
    11. Blessing Taruvinga & Boda Kang & Christina Sklibosios Nikitopoulos, 2018. "Pricing American Options with Jumps in Asset and Volatility," Research Paper Series 394, Quantitative Finance Research Centre, University of Technology, Sydney.
    12. Maria Cristina Recchioni & Yu Sun & Gabriele Tedeschi, 2016. "Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model," Working Papers 2016/23, Economics Department, Universitat Jaume I, Castellón (Spain).
    13. Benjamin Tin Chun Cheng, 2017. "Pricing and Hedging of Long-Dated Commodity Derivatives," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2017.
    14. Recchioni, M.C. & Sun, Y., 2016. "An explicitly solvable Heston model with stochastic interest rate," European Journal of Operational Research, Elsevier, vol. 249(1), pages 359-377.
    15. Belssing Taruvinga, 2019. "Solving Selected Problems on American Option Pricing with the Method of Lines," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2019.
    16. Ben-Zhang Yang & Xiaoping Lu & Guiyuan Ma & Song-Ping Zhu, 2019. "Robust portfolio optimization with multi-factor stochastic volatility," Papers 1910.06872, arXiv.org, revised Jun 2020.
    17. Cheng, Benjamin & Nikitopoulos, Christina Sklibosios & Schlögl, Erik, 2018. "Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 148-166.
    18. Teh Raihana Nazirah Roslan & Wenjun Zhang & Jiling Cao, 2016. "Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure," Papers 1610.09714, arXiv.org, revised Apr 2020.
    19. Karel in 't Hout & Jari Toivanen, 2015. "Application of Operator Splitting Methods in Finance," Papers 1504.01022, arXiv.org.
    20. Tinne Haentjens & Karel J. in 't Hout, 2011. "ADI finite difference schemes for the Heston-Hull-White PDE," Papers 1111.4087, arXiv.org.
    21. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2015. "Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates," Research Paper Series 366, Quantitative Finance Research Centre, University of Technology, Sydney.
    22. Tao Liu & Malik Zaka Ullah & Stanford Shateyi & Chao Liu & Yanxiong Yang, 2023. "An Efficient Localized RBF-FD Method to Simulate the Heston–Hull–White PDE in Finance," Mathematics, MDPI, vol. 11(4), pages 1-15, February.

  36. Lech A. Grzelak & Cornelis W. Oosterlee, 2012. "On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(1), pages 1-35, February.
    See citations under working paper version above.
  37. Lech Grzelak & Cornelis Oosterlee & Sacha Van Weeren, 2011. "The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 11(11), pages 1647-1663.

    Cited by:

    1. Karim Barigou & Lukasz Delong, 2021. "Pricing equity-linked life insurance contracts with multiple risk factors by neural networks," Post-Print hal-02896141, HAL.
    2. Laura Ballotta & Ioannis Kyriakou, 2015. "Convertible bond valuation in a jump diffusion setting with stochastic interest rates," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 115-129, January.
    3. Roman Horsky & Tilman Sayer, 2015. "Joining The Heston And A Three-Factor Short Rate Model: A Closed-Form Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-17, December.
    4. Kirkby, J. Lars, 2023. "Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation," European Journal of Operational Research, Elsevier, vol. 305(2), pages 961-978.
    5. Yijuan Liang & Xiuchuan Xu, 2019. "Variance and Dimension Reduction Monte Carlo Method for Pricing European Multi-Asset Options with Stochastic Volatilities," Sustainability, MDPI, vol. 11(3), pages 1-21, February.
    6. Karim Barigou & Lukasz Delong, 2020. "Pricing equity-linked life insurance contracts with multiple risk factors by neural networks," Papers 2007.08804, arXiv.org, revised Nov 2021.
    7. Teh Raihana Nazirah Roslan & Wenjun Zhang & Jiling Cao, 2016. "Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure," Papers 1610.09714, arXiv.org, revised Apr 2020.
    8. S. Simaitis & C. S. L. de Graaf & N. Hari & D. Kandhai, 2016. "Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk," Quantitative Finance, Taylor & Francis Journals, vol. 16(11), pages 1725-1740, November.

  38. Ariel Almendral & Cornelis W. Oosterlee, 2007. "On American Options Under the Variance Gamma Process," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(2), pages 131-152.

    Cited by:

    1. Roman V. Ivanov, 2018. "A Credit-Risk Valuation under the Variance-Gamma Asset Return," Risks, MDPI, vol. 6(2), pages 1-25, May.
    2. Lord, Roger & Fang, Fang & Bervoets, Frank & Oosterlee, Kees, 2007. "A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes," MPRA Paper 1952, University Library of Munich, Germany.
    3. Roman V. Ivanov & Katsunori Ano, 2016. "On exact pricing of FX options in multivariate time-changed Lévy models," Review of Derivatives Research, Springer, vol. 19(3), pages 201-216, October.
    4. Hatem Ben‐Ameur & Rim Chérif & Bruno Rémillard, 2020. "Dynamic programming for valuing American options under a variance‐gamma process," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1548-1561, October.
    5. Grothe, Oliver & Hofert, Marius, 2015. "Construction and sampling of Archimedean and nested Archimedean Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 182-198.
    6. Weilong Fu & Ali Hirsa, 2019. "A fast method for pricing American options under the variance gamma model," Papers 1903.07519, arXiv.org.
    7. L. Alili & A. E. Kyprianou, 2005. "Some remarks on first passage of Levy processes, the American put and pasting principles," Papers math/0508487, arXiv.org.
    8. Ivanov Roman V., 2018. "On risk measuring in the variance-gamma model," Statistics & Risk Modeling, De Gruyter, vol. 35(1-2), pages 23-33, January.
    9. Herzberg, Frederik, 2011. "On the foundations of Lévy finance. Equilibrium for a single-agent financial market with jumps," Center for Mathematical Economics Working Papers 406, Center for Mathematical Economics, Bielefeld University.
    10. Nicola Cantarutti & Jo~ao Guerra, 2016. "Multinomial method for option pricing under Variance Gamma," Papers 1701.00112, arXiv.org, revised Feb 2018.
    11. Yuanda Chen & Zailei Cheng & Haixu Wang, 2023. "Option Pricing for the Variance Gamma Model: A New Perspective," Papers 2306.10659, arXiv.org.
    12. Gian P. Cervellera & Marco P. Tucci, 2014. "A note on the estimation of a Gamma-Variance process: Learning from a failure," Department of Economics University of Siena 702, Department of Economics, University of Siena.
    13. N. Hilber & N. Reich & C. Schwab & C. Winter, 2009. "Numerical methods for Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 471-500, September.
    14. Gian P. Cervellera & Marco P. Tucci, 2017. "A note on the Estimation of a Gamma-Variance Process: Learning from a Failure," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 363-385, March.
    15. Roman V. Ivanov, 2018. "Option Pricing In The Variance-Gamma Model Under The Drift Jump," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-19, June.
    16. Yang, Xiaofeng & Yu, Jinping & Xu, Mengna & Fan, Wenjing, 2018. "Convertible bond pricing with partial integro-differential equation model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 152(C), pages 35-50.
    17. Erhan Bayraktar & Hao Xing, 2009. "Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(3), pages 505-525, December.
    18. Fang, Fang & Oosterlee, Kees, 2008. "Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions," MPRA Paper 9248, University Library of Munich, Germany.
    19. Ron Chan & Simon Hubbert, 2014. "Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme," Review of Derivatives Research, Springer, vol. 17(2), pages 161-189, July.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.