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Undated material is presented at the end, although it may be more recent than other items
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- 2160339 Life-cycle asset allocation and consumption using stochastic linear programming
by Alois Geyer & Michael Hanke & Alex Weissensteiner - 2160340 The influence of correlation on multi-asset portfolio optimization with transaction costs
by Colin Atkinson and Pongsathorn Ingpochai - 2160342 Modeling correlated defaults: first passage model under stochastic volatility
by Jean-Pierre Fouque & Brian C. Wignall & Xianwen Zhou - 2160343 Optimal Fourier inversion in semi-analytical option pricing
by Roger Lord & Christian Kahl - 2160344 Efficient calculation of expected shortfall contributions in large credit portfolios
by Michael Kalkbrener & Anna Kennedy & Monika Popp - 2160345 American options in Lévy models with stochastic interest rates
by Svetlana Boyarchenko & Sergei Levendorskii - 2160346 Highly accurate evaluation of European and American options under the Variance Gamma process
by Ariel Almendral & CornelisW. Oosterlee - 2160347 Numerical techniques for the valuation of basket options and their Greeks
by Corinna Hager & Stefan Hüeber & Barbara I. Wohlmuth - 2160348 PDE methods for maximum drawdown
by Libor Pospisil & Jan Vecer - 2160349 Convergence analysis of Crank–Nicolson and Rannacher time-marching
by Michael B. Giles & Rebecca Carter - 2160350 Linking caplets and swaptions prices in the LMM-SABR model
by Riccardo Rebonato & Richard White - 2160352 Pricing Energy Derivatives by Linear Programming: Tolling Agreement Contracts
by Valeriy Ryabchenko & Stan Uryasev - 2160353 Variance reduction techniques for pricing American options using function approximations
by Sandeep Juneja & Himanshu Kalra - 2160355 Partial proxy simulation schemes for generic and robust Monte Carlo Greeks
by Christian P. Fries & Mark S. Joshi - 2160357 Representing the CGMY and Meixner Lévy processes as time changed Brownian motions
by Dilip B. Madan & Marc Yor - 2160358 A simple discretization scheme for nonnegative diffusion processes with applications to option pricing
by Chantal Labbé & Bruno Rémillard & Jean-François Renaud - 2160359 Pricing and hedging gap risk
by Peter Tankov - 2160360 The decoupling approach to binomial pricing of multi-asset options
by Ralf Korn & Stefanie Müller - 2160362 Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm
by Johannes Ruf & Matthias Scherer - 2160363 Efficient Pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model
by Rüdiger Kiesel & Matthias Lutz - 2160364 Discrete extrema of Brownian motion and pricing of exotic options
by Colin Atkinson & Gianluca Fusai - 2160365 Unbiased Monte Carlo valuation of lookback, swing and barrier options with continuous monitoring under variance gamma models
by Martin Becker - 2160366 Minimal partial proxy simulation schemes for generic and robust Monte Carlo Greeks
by Jiun Hong Chan & Mark Joshi - 2160368 Correlation matrix with block structure and efficient sampling methods
by Jinggang Huang & Liming Yang - 2160369 Fast Valuation and Calibration of Credit Default Swaps Under Levy Dynamics
by Fang Fang & Henrik Jönsson & Cornelis W. Oosterlee & Wim Schoutens - 2160370 Simple and efficient simulation of the Heston stochastic volatility model
by Leif Andersen - 2160372 Gaussian and Poisson approximation: applications to CDOs tranche pricing
by Nicole El Karoui & Ying Jiao & David Kurtz - 2160374 Optimal portfolio management in mar taxation
by Cristin Buescu & Michael Taksar - 2160375 Pricing of spread options on stochastically correlated underlyings
by Marcos Escobar & Barbara Götz & Luis Seco & Rudi Zagst - 2160376 Uncertain Volatility Model: A Monte-Carlo Approach
by Julien Guyon & Pierre Henry-Labordère - 2160377 Using Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options
by Mark S. Joshi & Terence S. Leung - 2160378 Computational techniques for basic affine models of portfolio credit risk
by Andreas Eckner - 2160379 Eurodollar futures convexity adjustments in stochastic volatility models
by Vladimir V. Piterbarg & Marco A. Renedo - 2160380 Recursive valuation of Basket Default Swaps
by Ian Iscoe & Alex Kreinin - 2160383 Sampling Student's T distribution – use of the inverse cumulative distribution function
by William T. Shaw - 2160384 Portfolio selection with marginal risk control
by Shushang Zhu & Duan Li & Xiaoling Sun - 2160385 The singular points binominal method for pricing American path-dependent options
by Marcellino Gaudenzi & Antonino Zanette & Maria Antonietta Lepellere - 2160386 Numerical estimation of volatility values from discretely observed diffusion data
by Jakša Cvitanic & Boris Rozovskii & Ilya Zaliapin - 2160388 Pricing and hedging American-style options: a simple simulation-based approach
by Yang Wang & Russel Caflisch - 2160389 An almost exact simulation method for the Heston model
by Robert D. Smith - 2160390 Pricing convertible bonds with call protection
by Stéphane Crépey & Abdallah Rahal - 2160391 Fourier space time-stepping for option pricing with Lévy models
by Kenneth R. Jackson & Sebastian Jaimungal & Vladimir Surkov - 2160392 A tree-based method to price American options in the Heston model
by Michel Vellekoop & Hans Nieuwenhuis - 2160393 Fast Greeks by algorithmic differentiation
by Luca Capriotti - 2160394 Measuring the error of dynamic hedging: a Laplace transform approach
by Flavio Angelini & Stefano Herzel - 2160395 Multi-asset option pricing using a parallel Fourier-based technique
by C. C. W. Leentvaar & C. W. Oosterlee - 2160396 The relative efficiency of numerical methods for pricing American options under Lévy processes
by Sergei LevendorskiˇÃµ & Oleg Kudryavtsev & Vadim Zherder - 2160398 A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
by Jari Toivanen - 2160399 Pricing barrier and average options in a stochastic volatility environment
by Kenichiro Shiraya & Akihiko Takahashi & Masashi Toda - 2160400 Adaptive control variates for pricing multi-dimensional American options
by Samuel M. T. Ehrlichman & Shane G. Henderson - 2160402 Wavelet-based bootstrap for pricing path-dependent European options
by Huaguang Feng & Aparna Gupta & Thomas R. Willemain - 2160404 Pricing credit default swaps under Lévy models
by Jessica Cariboni & Wim Schoutens - 2160405 Robust numerical valuation of European and American options under the CGMY process
by Iris R. Wang & Justin W. L. Wan & Peter A. Forsyth - 2160406 Partially exact and bounded approximations for arithmetic Asian options
by Roger Lord - 2160407 Penalty methods for continuous-time portfolio selection with proportional transaction costs
by Min Dai & Yifei Zhong - 2160410 On stiffness in affine asset pricing models
by Shirley J. Huang & Jun Yu - 2160411 Calibrating volatility function bounds for an uncertain volatility model
by Thomas F. Coleman & Changhong He & Yuying Li - 2160412 Markovian projection onto a Heston model
by Alexandre Antonov & Timur Misirpashaev & Vladimir Piterbarg - 2160413 Finite element valuation of swing options
by Martina Wilhelm & Christoph Winter - 2160414 Pricing options on realized variance in the Heston model with jumps in returns and volatility
by Artur Sepp - 2160415 Barrier option pricing for assets with Markov-modulated dividends
by Giuseppe Di Graziano & L. C. G. Rogers - 2160416 Generalizing the Black–Scholes formula to multivariate contingent claims
by René Carmona & Valdo Durrleman - 2160417 A multilevel approach to control variates
by Adam Speight - 2160418 Adaptive and high-order methods for valuing American options
by Christina C. Christara & Duy Minh Dang - 2160419 An empirical comparative analysis of foreign exchange smile calibration procedures
by Dimitri Reiswich - 2160420 Dynamic mean-variance portfolio analysis under model risk
by Daniel Kuhn & Panos Parpas & Berç Rustem & Raquel Fonseca - 2160421 Calibration of local volatility using the local and implied instantaneous variance
by Gabriel Turinici - 2160422 Histogram models for robust portfolio optimization
by Daniel Bienstock - 2160423 Pricing equity default swaps under an approximation to the CGMY Levy model
by Søren Asmussen & Dilip Madan & Martijn Pistorius - 2160424 Failure discrimination by semi-definite programming using a maximal margin ellipsoidal surface
by Yohei Okada & Hiroshi Konno - 2160426 Measuring marginal risk contributions in credit portfolios
by Paul Glasserman - 2160427 Computing tails of compound distributions using direct numerical integration
by Xiaolin Luo & Pavel V. Shevchenko - 2160428 BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
by Matthias Arnsdorf & Igor Halperin - 2160429 Potential Future Exposure Calculations of Multi-Asset Exotic Products using the Stochastic Mesh Method
by Leslie Ng & Dave Peterson & Andres Eulogio Rodriguez - 2160431 Computing two-factor deltas using unstructured meshes
by Amélie Bélanger & Bruce Simpson - 2160432 Fast and accurate Greeks for the LIBOR Market Model
by Nick Denson & Mark Joshi - 2160434 Cost-optimal static super-replication of barrier options: an optimization approach
by Alexander Giese & Jan Maruhn - 2160436 Proxy simulation schemes for generic robust Monte Carlo sensitivities, process-oriented importance sampling and high-accuracy drift approximation
by Christian P. Fries & Jörg Kampen - 2160437 Fast simplified approaches to Asian option pricing
by D.Y. Tangman & A. A. I. Peer & N. Rambeerich & M. Bhuruth - 2160438 A behavioural finance-based tick-by-tick model for price and volume
by Garud Iyengar & Alfred Ka Chun Ma - 2160439 Lognormal approximations to Libor market models
by O. Kurbanmuradov & K. Sabelfeld & J. Schoenmakers - 2160440 A semi-analytical method for pricing and hedging continuously sampled arithmetic average rate options
by Jin E. Zhang - 2160441 Static replication of barrier options: some general results
by Leif B. G. Andersen & Jesper Andreasen & David Eliezer - 2160442 Fast valuation of financial derivatives
by J. G. M. Schoenmakers & A. W. Heemink - 2160443 Simple, fast and flexible pricing of Asian options
by Timothy R. Klassen - 2160444 An application of natural resource evaluation using a simulation-dynamic programming approach
by Augusto Castillo-Ramiré - 2160445 American options and the LSM algorithm: quasi-random sequences and Brownian bridges
by Suneal K. Chaudhary - 2160446 Volatility estimation with functional gradient descent for very high-dimensional financial time series
by Francesco Audrino & Peter Bühlmann - 2160447 On the valuation of double-barrier options: computational aspects
by Michael Schröder - 2160449 A closed-form solution for perpetual American floating strike lookback options
by Min Dai - 2160450 Negative coefficients in two-factor option pricing models
by R. Zvan & P. A. Forsyth & K. R.Vetzal - 2160451 The passport option
by Leif Andersen & Jesper Andreasen & and Rupert Brotherton-Ratcliffe - 2160452 Performance of Dupire's implied diffusion approach under sparse and incomplete data
by Michael L. McIntyre - 2160453 A new PDE approach for pricing arithmetic average Asian options
by Jan Vecer - 2160455 The pricing of multi-asset options using a Fourier grid method
by Bernard Engelmann & Peter Schwendner - 2160456 Pricing near the barrier: the case of discrete knock-out options
by Manfred Steiner and Martin Wallmeier & Reinhold Hafner - 2160458 Finite sample comparison of alternative estimators of Itô diffusion processes: a Monte Carlo study
by George J. Jiang & John L. Knight - 2160460 Pricing Asian options via Fourier and Laplace transforms
by Gianluca Fusai - 2160461 The modified willow tree algorithm
by Ulrich G. Haussmann & Liqing Yan - 2160465 The pricing of floating rate instruments
by Lara Cathcart - 2160466 Technical note: Lognormal swap approximation in the Libor market model and its application
by Koichi Matsumoto - 2160467 An investigation of cheapest-to-deliver on Treasury bond futures contracts
by Simon Benninga & Zvi Wiener - 2160468 Robbins–Monro algorithms and variance reduction in finance
by Bouhari Arouna - 2160469 Exercise boundaries and efficient approximations to American option prices and hedge parameters
by Farid AitSahlia & Tze Leung Lai - 2160470 Fast drift-approximated pricing in the BGM model
by Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel - 2160471 Discrete Asian barrier options
by R. Zvan and P. A. Forsyth & K. R. Vetzal - 2160472 Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling
by Pavel V. Shevchenko - 2160473 Pricing and hedging more general double-barrier options
by Adam W. Kolkiewicz - 2160474 A tree implementation of a credit spread model for credit derivatives
by Philipp J. Schönbucher - 2160475 American option pricing and exercising with transaction costs
by Valeri I. Zakamouline - 2160478 Semi-analytical pricing of defaultable bonds in a signaling jump-default model
by Lara Cathcart and Lina El-Jahel - 2160479 Efficient pricing of Asian options by the PDE approach
by François Dubois & Tony Lelièvre - 2160482 Control of credit risk collateralization using quasi-variational inequalities
by Felipe M. Aparicio & Didier Cossin - 2160485 Optimal portfolio series formula under dynamic appreciation rate uncertainty
by Srdjan D. Stojanovic - 2160486 Accelerating Monte Carlo: quasirandom sequences and variance reduction
by Leonard Berman - 2160487 A canonical optimal stopping problem for American options and its numerical solution
by Farid AitSahlia & Tze Leung Lai - 2160488 A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model
by Leif Andersen - 2160489 Time transformations, intraday data, and volatility models
by Pierre Giot - 2160490 Technical note: Dependence and two-asset options pricing
by Grégory Rapuch & Thierry Roncalli - 2160492 A technique for calibrating derivative security pricing models: numerical solution of an inverse problem
by Ronald Lagnado & Stanley Osher - 2160493 Numerical investigation of early exercise in American puts with discrete dividends
by Gunter H. Meyer - 2160494 Fast at-the-money calibration of the Libor market model using Lagrange multipliers
by Lixin Wu - 2160495 Option valuation using the fast Fourier transform
by Peter Carr & Dilip B. Madan - 2160496 Accurate approximations for European-style Asian options
by Prasad Chalasani and Somesh Jha & Ashok Varikooty - 2160497 Asset price distributions inferred from linear inverse theory
by Peter W. Buchen & Michael F. Kelly - 2160498 Risk-management methods for the Libor market model using semidefinite programming
by Alexandre d’Aspremont - 2160499 Using program synthesis to price derivatives
by Curt Randall & Elaine Kant & Ashvin Chhabra - 2160500 Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods
by Michael C. Fu and Dilip B. Madan & Tong Wang - 2160502 Fast solutions of complementarity formulations in American put pricing
by Artan Borici & Hans-Jakob Lüthi - 2160503 Fast Fourier transform for discrete Asian options
by Eric Benhamou - 2160504 The reduction of forward rate dependent volatility HJM models to Markovian form: pricing European bond options
by Ramaprasad Bhar & Carl Chiarella & Nadima El-Hassan & and Xiaosu Zheng - 2160505 Pricing discretely monitored barrier options
by Michael A. Sullivan - 2160506 A Bayesian approach for constructing implied volatility surfaces through neural networks
by M. Avellaneda & A. Carelli & F. Stella - 2160508 LIBOR market models in practice
by Jakob Sidenius - 2160509 Pricing and hedging callable Libor exotics in forward Libor models
by Vladimir V. Piterbarg - 2160510 A PDE method for computing moments
by Thomas Little and Vijay Pant - 2160512 Pricing in three-factor models using icosahedral lattices
by Lynda A. McCarthy & Nick J. Webber - 2160513 Fast and accurate analytical approximation of bond prices when short interest rates are lognormal
by Asbjørn Trolle Hansen & Peter Løchte Jørgensen - 2160518 Convergence remedies for non-smooth payoffs in option pricing
by David M. Pooley & Kenneth R.Vetzal & Peter A. Forsyth - 2160520 Pricing of Occupation Time Derivatives: Continuous and Discrete Monitoring
by Gianluca Fusai & Aldo Tagliani - 2160521 Sparse wavelet methods for option pricing under stochastic volatility
by Norbert Hilber & Ana-Maria Matache & Christoph Schwab - 2160522 Risk-sensitive portfolio optimization with transaction costs
by Tomasz R. Bielecki & Jean-Philippe Chancelier & Stanley R. Pliska & Agnès Sulem - 2160524 How to solve multiasset Black-Scholes with time-dependent volatility and correlation
by L. P. Bos and A. F. Ware - 2160525 A generalized multinomial method for option pricing in several dimensions
by Thomas Gustafsson and Houari Merabet - 2160526 A stochastic mesh method for pricing high-dimensional American options
by Mark Broadie and Paul Glasserman - 2160527 A new algorithm for constructing implied binomial trees: does the implied model fit any volatility smile?
by Yanmin Li - 2160528 Competitive Monte Carlo methods for the pricing of Asian options
by B. Lapeyre & E. Temam - 2160529 Double barrier options: valuation by path counting
by Jakob Sidenius - 2160530 The pricing of discretely sampled Asian and lookback options: a change of numeraire approach
by Jesper Andreasen - 2160532 The singularity-separating method for two-factor convertible bonds
by You-lan Zhu and Yingjun Sun - 2160533 Pricing moving average barrier options
by J. P. Heritage - 2160534 Option pricing and linear complementarity
by Jacqueline Huang & Jong-Shi Pang - 2160535 Penalty and front-fixing methods for the numerical solution of American option problems
by Bjørn Fredrik Nielsen & Ola Skavhaug and Aslak Tveito - 2160536 The GARCH option pricing model: a lattice approach
by Nusret Cakici & Kudret Topyan - 2160537 Convergence of Monte Carlo simulations involving the mean-reverting square root process
by Desmond J. Higham & Xuerong Mao - 2160538 Krylov subspace reduction and its extensions for option pricing
by Vladimir Druskin and Leonid Knizhnerman & Tanya Tamarchenko & Sergio Kostek - 2160540 A remark on the pricing of discrete lookback options
by Anders Öhgren - 2160541 Robust numerical methods for PDE models of Asian options
by R. Zvan & P. A. Forsyth & K. R. Vetzal - 2160543 Pricing of interest rate contingent claims: implementing a simulation approach
by Kristian R. Miltersen - 2160544 On the pricing implications of the joint lognormal assumption for the swaption and cap markets
by Riccardo Rebonato - 2160545 Evaluation of compound options using perturbation approximation
by Jean-Pierre Fouque & Chuan-Hsiang Han - 2160546 Hopscotch methods for two-state financial models
by Adam Kurpiel & Thierry Roncalli - 2160547 Comment on: "Computation of deterministic volatility surfaces", by N. Jackson, E. Süli, and S. Howison, Vol. 2(2) (Winter, 1998/99), pp. 5-32
by Mark Rubinstein - 2160548 Pricing Asian and basket options via Taylor expansion
by Nengjiu Ju - 2160549 The Brownian bridge E-M algorithm for covariance estimation with missing data
by William Morokoff - 2160550 Various types of double-barrier options
by Lawrence S. J. Luo - 2160551 Reconstructing the unknown local volatility function
by Thomas F. Coleman & Yuying Li and Arun Verma - 2160552 Convergence of the stochastic mesh estimator for pricing Bermudan options
by Athanassios N. Avramidis & Heinrich Matzinger - 2160553 Computing deltas of callable Libor exotics in forward Libor models
by Vladimir V. Piterbarg - 2160554 Path-dependent option pricing: the path integral partial averaging method
by Andrew Matacz - 2160555 Valuing path-dependent options in the variance-gamma model by Monte Carlo with a gamma bridge
by Claudia Ribeiro & Nick Webber - 2160557 LP valuation of exotic American options exploiting structure
by M. A. H. Dempster & J. P. Hutton & D. G. Richards - 2160558 Analytical and Monte Carlo swaption pricing under the forward swap measure
by Atsushi Kawai - 2160559 Efficient option pricing with transaction costs
by Michael Monoyios - 2160561 A non-Gaussian stochastic volatility model
by Yuichi Nagahara & Genshiro Kitagawa - 2160562 A new integral representation of the early exercise boundary for American put options
by Thomas Little and Vijay Pant & Chunli Hou - 2160563 Valuing moving barrier options
by L. C. G. Rogers & O. Zane - 2160564 Optimal importance sampling in securities pricing
by Yi Su and Michael C. Fu - 2160565 Non-parametric calibration of jump–diffusion option pricing models
by Rama Cont and Peter Tankov - 2160566 Finite sample properties of EMM, GMM, QMLE and MLE for a square-root interest rate diffusion model
by Hao Zhou - 2160567 Structuring, pricing and hedging double-barrier step options
by Dmitry Davydov & Vadim Linetsky - 2160568 Deriving derivatives of derivative securities
by Peter Carr - 2160569 The link between caplet and swaption volatilities in a Brace–Gatarek–Musiela/Jamshidian framework: approximate solutions and empirical evidence
by Peter Jäckel & Riccardo Rebonato - 2160573 A mathematical programming with equilibrium constraints approach to the implied volatility surface of American options
by Jacqueline Huang and Jong-Shi Pang - 2160574 Option pricing using the fractional FFT
by Kyriakos Chourdakis - 2160575 The equity option volatility smile: an implicit finite-difference approach
by Leif B. G. Andersen & Rupert Brotherton-Ratcliffe - 2164194 No-arbitrage SABR
by Paul Doust - 2164203 Fast pricing and calculation of sensitivities of out-of-the-money European options under Lévy processes
by Sergei Levendorskii and Jiayao Xie - 2164204 Pricing credit derivatives using an asymptotic expansion approach
by Yoshifumi Muroi - 2180292 Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
by Antonis Papapantoleon & John Schoenmakers and David Skovmand - 2180294 An equity–interest rate hybrid model with stochastic volatility and the interest rate smile
by Lech A. Grzelak and Cornelis W. Oosterlee - 2180301 Numerical valuation of basket credit derivatives in structural jump-diffusion models
by Karolina Bujok & Christoph Reisinger - 2180304 Sato two-factor models for multivariate option pricing
by Florence Guillaume - 2197353 Applications of periodic and quasiperiodic decompositions to options pricing
by Dominique Bang - 2197354 Proper orthogonal decomposition for pricing options
by Olivier Pironneau - 2197357 Alternating direction implicit finite difference schemes for the Heston-Hull-White partial differential equation
by Tinne Haentjens and Karel J. In 't Hout - 2197358 Pricing pension plans based on average salary without early retirement: partial differential equation modeling and numerical solution
by Maria del Carmen Calvo-Garrido and Carlos Vazquez - 2219905 A variance reduction technique using a quantized Brownian motion as a control variate
by Antoine Lejay and Victor Reutenauer - 2219916 Dual quantization for random walks with application to credit derivatives
by Gilles Pagès and Benedikt Wilbertz