Christian Kahl

Personal Details

First Name:	Christian
Middle Name:
Last Name:	Kahl
Suffix:
RePEc Short-ID:	pka258
	http://www.math.uni-wuppertal.de/~kahl
Terminal Degree:	Department of Economics; Cornell University (from RePEc Genealogy)

Affiliation

Chair of Applied Mathematics / Numerical Analysis

http://www.math.uni-wuppertal.de/org/Num/
Wuppertal

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. Roger Lord & Christian Kahl, 2006. "Optimal Fourier Inversion in Semi-analytical Option Pricing," Tinbergen Institute Discussion Papers 06-066/2, Tinbergen Institute, revised 05 Jun 2007.

   Cited by:

   1. 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.
   2. Kilin, Fiodar, 2006. "Accelerating the calibration of stochastic volatility models," MPRA Paper 2975, University Library of Munich, Germany, revised 22 Apr 2007.
   3. Alessandro Ramponi, 2016. "On a Transform Method for the Efficient Computation of Conditional V@R (and V@R) with Application to Loss Models with Jumps and Stochastic Volatility," Methodology and Computing in Applied Probability, Springer, vol. 18(2), pages 575-596, June.
      • Alessandro Ramponi, 2014. "On a Transform Method for the Efficient Computation of Conditional VaR (and VaR) with Application to Loss Models with Jumps and Stochastic Volatility," Papers 1407.1072, arXiv.org.
   4. 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.
   5. Stefan Gerhold & Christoph Gerstenecker & Arpad Pinter, 2019. "Moment explosions in the rough Heston model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 575-608, December.
   6. Dong-Mei Zhu & Jiejun Lu & Wai-Ki Ching & Tak-Kuen Siu, 2019. "Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 555-586, February.
   7. G. Mazzei & F. G. Bellora & J. A. Serur, 2021. "Delta Hedging with Transaction Costs: Dynamic Multiscale Strategy using Neural Nets," Papers 2109.12337, arXiv.org.
   8. Bravo, Jorge M. & Nunes, João Pedro Vidal, 2021. "Pricing longevity derivatives via Fourier transforms," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 81-97.
   9. van Haastrecht, Alexander & Lord, Roger & Pelsser, Antoon & Schrager, David, 2009. "Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 436-448, December.
   10. Sigurd Emil Rømer & Rolf Poulsen, 2020. "How Does the Volatility of Volatility Depend on Volatility?," Risks, MDPI, vol. 8(2), pages 1-18, June.
   11. Stavros J. Sioutis, 2017. "Calibration and Filtering of Exponential L\'evy Option Pricing Models," Papers 1705.04780, arXiv.org.
   12. Martin Forde & Stefan Gerhold & Benjamin Smith, 2019. "Small-time, large-time and $H\to 0$ asymptotics for the Rough Heston model," Papers 1906.09034, arXiv.org, revised Oct 2020.
   13. Christian Bayer & Chiheb Ben Hammouda & Antonis Papapantoleon & Michael Samet & Ra'ul Tempone, 2024. "Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options," Papers 2403.02832, arXiv.org.
   14. Roger Lord & Christian Kahl, 2006. "Why the Rotation Count Algorithm works," Tinbergen Institute Discussion Papers 06-065/2, Tinbergen Institute.
   15. Pingping Zeng & Yue Kuen Kwok, 2016. "Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1375-1391, September.
   16. 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.
   17. 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.
   18. Fabien Le Floc'h, 2020. "Notes on the SWIFT method based on Shannon Wavelets for Option Pricing," Papers 2005.13252, arXiv.org.
   19. Gong, Xiao-li & Zhuang, Xin-tian, 2016. "Option pricing and hedging for optimized Lévy driven stochastic volatility models," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 118-127.
   20. François M. Quittard-Pinon & Rivo Randrianarivony, 2010. "Exchange Options when One Underlying Price Can Jump," Finance, Presses universitaires de Grenoble, vol. 31(1), pages 33-53.
   21. Gong, Xiaoli & Zhuang, Xintian, 2017. "Pricing foreign equity option under stochastic volatility tempered stable Lévy processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 83-93.
   22. Stefan Gerhold & Christoph Gerstenecker & Arpad Pinter, 2018. "Moment Explosions in the Rough Heston Model," Papers 1801.09458, arXiv.org, revised Apr 2018.

2. Roger Lord & Christian Kahl, 2006. "Why the Rotation Count Algorithm works," Tinbergen Institute Discussion Papers 06-065/2, Tinbergen Institute.

   Cited by:

   1. Roger Lord & Christian Kahl, 2006. "Optimal Fourier Inversion in Semi-analytical Option Pricing," Tinbergen Institute Discussion Papers 06-066/2, Tinbergen Institute, revised 05 Jun 2007.
   2. Kilin, Fiodar, 2006. "Accelerating the calibration of stochastic volatility models," MPRA Paper 2975, University Library of Munich, Germany, revised 22 Apr 2007.
   3. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Post-Print hal-02946146, HAL.
   4. Flavio Angelini & Stefano Herzel, 2015. "Evaluating discrete dynamic strategies in affine models," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 313-326, February.
      • Flavio Angelini & Stefano Herzel, 2009. "Evaluating Discrete Dynamic Strategies in Affine Models," Quaderni del Dipartimento di Economia, Finanza e Statistica 71/2009, Università di Perugia, Dipartimento Economia.
   5. Jean-Pierre Fouque & Matthew Lorig, 2010. "A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model," Papers 1007.4366, arXiv.org, revised Apr 2012.
   6. 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.
   7. Eduardo Abi Jaber, 2020. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Papers 2009.10972, arXiv.org, revised May 2022.
   8. Giacomo Bormetti & Valentina Cazzola & Guido Montagna & Oreste Nicrosini, 2008. "Probability distribution of returns in the exponential Ornstein-Uhlenbeck model," Papers 0805.0540, arXiv.org, revised Oct 2008.
   9. 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.
   10. Li, Chenxu & Wu, Linjia, 2019. "Exact simulation of the Ornstein–Uhlenbeck driven stochastic volatility model," European Journal of Operational Research, Elsevier, vol. 275(2), pages 768-779.
   11. Kiesel, Rüdiger & Rahe, Florentin, 2017. "Option pricing under time-varying risk-aversion with applications to risk forecasting," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 120-138.
   12. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02946146, HAL.

Articles

1. Christian Kahl & Peter Jackel, 2006. "Fast strong approximation Monte Carlo schemes for stochastic volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 6(6), pages 513-536.

   Cited by:

   1. Christopher Beveridge & Mark Joshi, 2011. "Monte Carlo Bounds for Game Options Including Convertible Bonds," Management Science, INFORMS, vol. 57(5), pages 960-974, May.
   2. Masaaki Fujii & Akihiko Takahashi, 2012. "Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility," CARF F-Series CARF-F-270, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jun 2012.
   3. Choi, Jaehyuk & Kwok, Yue Kuen, 2024. "Simulation schemes for the Heston model with Poisson conditioning," European Journal of Operational Research, Elsevier, vol. 314(1), pages 363-376.
   4. Mordecai Avriel & Jens Hilscher & Alon Raviv, 2012. "Inflation Derivatives Under Inflation Target Regimes," Working Papers 43, Brandeis University, Department of Economics and International Business School.
      • Mordecai Avriel & Jens Hilscher & Alon Raviv, 2013. "Inflation Derivatives Under Inflation Target Regimes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(10), pages 911-938, October.
   5. Alexander Lipton & Andrey Gal & Andris Lasis, 2013. "Pricing of vanilla and first generation exotic options in the local stochastic volatility framework: survey and new results," Papers 1312.5693, arXiv.org.
   6. Liu, Peng & Tang, Ke, 2011. "The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 211-224, March.
   7. Nicolas Langren'e & Geoffrey Lee & Zili Zhu, 2015. "Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model," Papers 1507.02847, arXiv.org, revised Mar 2016.
   8. Belomestny, Denis & Matthew, Stanley & Schoenmakers, John G. M., 2007. "A stochastic volatility libor model and its robust calibration," SFB 649 Discussion Papers 2007-067, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
   9. Nicolas Langrené & Geoffrey Lee & Zili Zhu, 2016. "Switching To Nonaffine Stochastic Volatility: A Closed-Form Expansion For The Inverse Gamma Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 1-37, August.
   10. Christian Bayer & Chiheb Ben Hammouda & Raul Tempone, 2020. "Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities," Papers 2003.05708, arXiv.org, revised Oct 2023.
   11. Dell'Era, Mario, 2010. "Geometrical Considerations on Heston's Market Model," MPRA Paper 21523, University Library of Munich, Germany.
   12. Damien Ackerer & Damir Filipovic, 2017. "Option Pricing with Orthogonal Polynomial Expansions," Papers 1711.09193, arXiv.org, revised May 2019.
   13. Dell'Era, Mario, 2010. "Vanilla Option Pricing on Stochastic Volatility market models," MPRA Paper 25645, University Library of Munich, Germany.
   14. Michael B. Giles, 2008. "Multilevel Monte Carlo Path Simulation," Operations Research, INFORMS, vol. 56(3), pages 607-617, June.
   15. S. T. Tse & Justin W. L. Wan, 2013. "Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 919-937, May.
   16. Peter Carr & Sander Willems, 2019. "A lognormal type stochastic volatility model with quadratic drift," Papers 1908.07417, arXiv.org.
   17. Michael A. Kouritzin, 2016. "Explicit Heston Solutions and Stochastic Approximation for Path-dependent Option Pricing," Papers 1608.02028, arXiv.org, revised Apr 2018.
   18. Alexander Lipton & Andrey Gal & Andris Lasis, 2014. "Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results," Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 1899-1922, November.
   19. Eric Djeutcha & Jules Sadefo Kamdem, 2022. "Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model," Post-Print hal-03675886, HAL.
       • Eric Djeutcha & Jules Sadefo Kamdem, 2024. "Pricing for a vulnerable bull spread options using a mixed modified fractional Hull–White–Vasicek model," Annals of Operations Research, Springer, vol. 334(1), pages 101-131, March.
   20. Damien Ackerer & Damir Filipović, 2020. "Option pricing with orthogonal polynomial expansions," Mathematical Finance, Wiley Blackwell, vol. 30(1), pages 47-84, January.
   21. Michael A. Kouritzin, 2018. "Explicit Heston Solutions And Stochastic Approximation For Path-Dependent Option Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-45, February.
   22. Masaaki Fujii & Akihiko Takahashi, 2012. "Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility," Papers 1202.0608, arXiv.org, revised Sep 2012.
   23. Nikolaos Halidias & Ioannis Stamatiou, 2015. "Approximating explicitly the mean reverting CEV process," Papers 1502.03018, arXiv.org, revised May 2015.
   24. Raul Merino & Jan Posp'iv{s}il & Tom'av{s} Sobotka & Tommi Sottinen & Josep Vives, 2019. "Decomposition formula for rough Volterra stochastic volatility models," Papers 1906.07101, arXiv.org, revised Aug 2019.
   25. Paul Glasserman & Kyoung-Kuk Kim, 2011. "Gamma expansion of the Heston stochastic volatility model," Finance and Stochastics, Springer, vol. 15(2), pages 267-296, June.
   26. Xavier Warin, 2021. "Deep learning for efficient frontier calculation in finance," Papers 2101.02044, arXiv.org, revised Feb 2022.
   27. Andreas Neuenkirch & Lukasz Szpruch, 2012. "First order strong approximations of scalar SDEs with values in a domain," Papers 1209.0390, arXiv.org.
   28. Dell'Era, Mario, 2010. "Geometrical Approximation method and stochastic volatility market models," MPRA Paper 22568, University Library of Munich, Germany.
   29. Jaehyuk Choi & Yue Kuen Kwok, 2023. "Simulation schemes for the Heston model with Poisson conditioning," Papers 2301.02800, arXiv.org, revised Nov 2023.
   30. Roger Lord & Christian Kahl, 2006. "Why the Rotation Count Algorithm works," Tinbergen Institute Discussion Papers 06-065/2, Tinbergen Institute.
   31. Mariano González-Sánchez & Eva M. Ibáñez Jiménez & Ana I. Segovia San Juan, 2022. "Market and model risks: a feasible joint estimate methodology," Risk Management, Palgrave Macmillan, vol. 24(3), pages 187-213, September.
   32. Annalena Mickel & Andreas Neuenkirch, 2021. "The Weak Convergence Rate of Two Semi-Exact Discretization Schemes for the Heston Model," Risks, MDPI, vol. 9(1), pages 1-38, January.
   33. Bégin Jean-François & Bédard Mylène & Gaillardetz Patrice, 2015. "Simulating from the Heston model: A gamma approximation scheme," Monte Carlo Methods and Applications, De Gruyter, vol. 21(3), pages 205-231, September.
   34. Benjamin Jourdain & Mohamed Sbai, 2013. "High order discretization schemes for stochastic volatility models," Post-Print hal-00409861, HAL.
   35. Christian Bayer & Chiheb Ben Hammouda & Ra'ul Tempone, 2021. "Numerical Smoothing with Hierarchical Adaptive Sparse Grids and Quasi-Monte Carlo Methods for Efficient Option Pricing," Papers 2111.01874, arXiv.org, revised Jun 2022.
   36. Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2007, January-A.
   37. Michael Sekatchev & Zhengxiang Zhou, 2024. "Stochastic Approaches to Asset Price Analysis," Papers 2407.06745, arXiv.org.
   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. Mascagni Michael & Hin Lin-Yee, 2013. "Parallel pseudo-random number generators: A derivative pricing perspective with the Heston stochastic volatility model," Monte Carlo Methods and Applications, De Gruyter, vol. 19(2), pages 77-105, July.
   40. Conlon, Thomas & Cotter, John & Kovalenko, Illia & Post, Thierry, 2023. "A financial modeling approach to industry exchange-traded funds selection," Journal of Empirical Finance, Elsevier, vol. 74(C).
   41. Roger Lord & Remmert Koekkoek & Dick Van Dijk, 2010. "A comparison of biased simulation schemes for stochastic volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 10(2), pages 177-194.
       • Roger Lord & Remmert Koekkoek & Dick van Dijk, 2006. "A Comparison of Biased Simulation Schemes for Stochastic Volatility Models," Tinbergen Institute Discussion Papers 06-046/4, Tinbergen Institute, revised 07 Jun 2007.
   42. Chang-Han Rhee & Peter W. Glynn, 2015. "Unbiased Estimation with Square Root Convergence for SDE Models," Operations Research, INFORMS, vol. 63(5), pages 1026-1043, October.
   43. Mishra, SK, 2007. "Completing correlation matrices of arbitrary order by differential evolution method of global optimization: A Fortran program," MPRA Paper 2000, University Library of Munich, Germany.
   44. Wenbin Hu & Junzi Zhou, 2017. "Backward simulation methods for pricing American options under the CIR process," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1683-1695, November.
   45. Shunwei Zhu & Bo Wang, 2019. "Unified Approach for the Affine and Non-affine Models: An Empirical Analysis on the S&P 500 Volatility Dynamics," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1421-1442, April.
   46. Masaaki Fujii & Akihiko Takahashi, 2012. "Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility," CIRJE F-Series CIRJE-F-840, CIRJE, Faculty of Economics, University of Tokyo.

2. Kahl Christian & Schurz Henri, 2006. "Balanced Milstein Methods for Ordinary SDEs," Monte Carlo Methods and Applications, De Gruyter, vol. 12(2), pages 143-170, April.

   Cited by:

   1. Tan, Jianguo & Chen, Yang & Men, Weiwei & Guo, Yongfeng, 2021. "Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 182(C), pages 195-210.
   2. Eckhard Platen & Renata Rendek, 2009. "Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes," Research Paper Series 259, Quantitative Finance Research Centre, University of Technology, Sydney.
   3. Yin, Zhengwei & Gan, Siqing, 2015. "An error corrected Euler–Maruyama method for stiff stochastic differential equations," Applied Mathematics and Computation, Elsevier, vol. 256(C), pages 630-641.
   4. Li, Yan & Zhang, Qimin, 2020. "The balanced implicit method of preserving positivity for the stochastic SIQS epidemic model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
   5. Halidias Nikolaos, 2016. "On the construction of boundary preserving numerical schemes," Monte Carlo Methods and Applications, De Gruyter, vol. 22(4), pages 277-289, December.
   6. Christian Kahl & Peter Jackel, 2006. "Fast strong approximation Monte Carlo schemes for stochastic volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 6(6), pages 513-536.
   7. Nikolaos Halidias, 2016. "On construction of boundary preserving numerical schemes," Papers 1601.07864, arXiv.org, revised Feb 2016.
   8. Nikolaos Halidias & Ioannis Stamatiou, 2015. "Approximating explicitly the mean reverting CEV process," Papers 1502.03018, arXiv.org, revised May 2015.
   9. Xianming Sun & Siqing Gan, 2014. "An Efficient Semi-Analytical Simulation for the Heston Model," Computational Economics, Springer;Society for Computational Economics, vol. 43(4), pages 433-445, April.
   10. Ahmadian, D. & Farkhondeh Rouz, O. & Ballestra, L.V., 2019. "Stability analysis of split-step θ-Milstein method for a class of n-dimensional stochastic differential equations," Applied Mathematics and Computation, Elsevier, vol. 348(C), pages 413-424.
   11. Weng, Lihui & Liu, Wei, 2019. "Invariant measures of the Milstein method for stochastic differential equations with commutative noise," Applied Mathematics and Computation, Elsevier, vol. 358(C), pages 169-176.
   12. Tan, Jianguo & Men, Weiwei & Pei, Yongzhen & Guo, Yongfeng, 2017. "Construction of positivity preserving numerical method for stochastic age-dependent population equations," Applied Mathematics and Computation, Elsevier, vol. 293(C), pages 57-64.
   13. Yao, Jinran & Gan, Siqing, 2018. "Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs," Applied Mathematics and Computation, Elsevier, vol. 339(C), pages 294-301.
   14. Xiaoling Wang & Xiaofei Guan & Pei Yin, 2020. "A New Explicit Magnus Expansion for Nonlinear Stochastic Differential Equations," Mathematics, MDPI, vol. 8(2), pages 1-17, February.
   15. Benjamin Jourdain & Mohamed Sbai, 2013. "High order discretization schemes for stochastic volatility models," Post-Print hal-00409861, HAL.
   16. Kang, Ting & Li, Qiang & Zhang, Qimin, 2019. "Numerical analysis of the balanced implicit method for stochastic age-dependent capital system with poisson jumps," Applied Mathematics and Computation, Elsevier, vol. 353(C), pages 166-177.
   17. Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2007, January-A.
   18. Sun, Xianming & Gan, Siqing & Vanmaele, Michèle, 2015. "Analytical approximation for distorted expectations," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 246-252.
   19. Renata Rendek, 2013. "Modeling Diversified Equity Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2013, January-A.
   20. H. A. Mardones & C. M. Mora, 2020. "First-Order Weak Balanced Schemes for Stochastic Differential Equations," Methodology and Computing in Applied Probability, Springer, vol. 22(2), pages 833-852, June.

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NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-FIN: Finance (1) 2006-08-12

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