Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing
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- Xiaolin Luo & Pavel V. Shevchenko, 2009. "Computing Tails of Compound Distributions Using Direct Numerical Integration," Papers 0904.0830, arXiv.org, revised Feb 2010.
- Hardy Hulley & Eckhard Platen, 2007. "Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options," Research Paper Series 203, Quantitative Finance Research Centre, University of Technology, Sydney.
- C. Atkinson & S. Kazantzaki, 2009. "Double knock-out Asian barrier options which widen or contract as they approach maturity," Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 329-340.
- repec:hal:journl:halshs-00384398 is not listed on IDEAS
- Dominique Guegan & Bertrand Hassani, 2009.
"A new algorithm for the loss distribution function with applications to Operational Risk Management,"
Documents de travail du Centre d'Economie de la Sorbonne
09023, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2009.
- Dominique Guegan & Bertrand Hassani, 2009. "A new algorithm for the loss distribution function with applications to Operational Risk Management," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00384398, HAL.
- Dominique Guegan & Bertrand Hassani, 2009. "A modified Panjer algorithm for operational risk capital calculations," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00443846, HAL.
- Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 19.
- Kwai Sun Leung & Yue Kuen Kwok, 2008. "Employee stock option valuation with repricing features," Quantitative Finance, Taylor & Francis Journals, vol. 8(6), pages 561-569.
- Cruz Báez, Domingo Israel & González Rodríguez, José Manuel, 2008. "Valoración de opciones. Un enfoque diferente," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 26, pages 341-362, Abril.
- Mark Craddock & Eckhard Platen, 2003. "Symmetry Group Methods for Fundamental Solutions and Characteristic Functions," Research Paper Series 90, Quantitative Finance Research Centre, University of Technology, Sydney.
- Pavel V. Shevchenko, 2010. "Calculation of aggregate loss distributions," Papers 1008.1108, arXiv.org.
- repec:hal:journl:halshs-00443846 is not listed on IDEAS
- Xiaolin Luo & Pavel V. Shevchenko & John B. Donnelly, 2009. "Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates," Papers 0904.2910, arXiv.org.
- Nicola Bruti-Liberati & Eckhard Platen, 2007.
"Approximation of jump diffusions in finance and economics,"
Springer;Society for Computational Economics, vol. 29(3), pages 283-312, May.
- Nicola Bruti-Liberati & Eckhard Platen, 2006. "Approximation of Jump Diffusions in Finance and Economics," Research Paper Series 176, Quantitative Finance Research Centre, University of Technology, Sydney.
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