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- 2253211 Numerical methods for an optimal order execution problem
by Fabien Guilbaud & Mohamed Mnif and Huyen Pham - 2275478 An efficient pricing algorithm for swing options based on Fourier cosine expansions
by B. Zhang and C. W. Oosterlee - 2275487 Tracking value-at-risk through derivative prices
by Simon I. Hill - 2292310 A multifactor bottom-up model for pricing credit derivatives
by Lung Kwan Tsui - 2292319 The evaluation of American compound option prices under stochastic volatility and stochastic interest rates
by Carl Chiarella and Boda Kang - 2292328 An n-dimensional Markov-functional interest rate model
by Linus Kaisajuntti and Joanne Kennedy - 2309289 High-order discretization schemes for stochastic volatility models
by Benjamin Jourdain and Mohamed Sbai - 2309291 Variance–optimal hedging for discrete-time processes with independent increments: application to electricity markets
by Stephane Goutte & Nadia Oudjane and Francesco Russo - 2309308 Exact simulation pricing with Gamma processes and their extensions
by Lancelot F. James & Dohyun Kim and Zhiyuan Zhang - 2309311 Simulation of Lévy processes and option pricing
by El Hadj Aly Dia - 2330315 Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model
by Ralf Korn and Qian Liang - 2330324 Monte Carlo pricing in the Schöbel–Zhu model and its extensions
by Alexander van Haastrecht & Roger Lord and Antoon Pelsser - 2330328 Quadratic finite element and preconditioning methods for options pricing in the SVCJ model
by Ying-Ying Zhang & Hong-Kui Pang & Liming Feng and Xiao-Qing Jin - 2347657 Robust calibration of financial models using Bayesian estimators
by Alok Gupta & Christoph Reisinger - 2347669 Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation
by Luis Ortiz-Gracia and Josep J. Masdemont - 2347676 Adjoint algorithmic differentiation: calibration and implicit function theorem
by Marc Henrard - 2347959 Optimizing the Omega ratio using linear programming
by Michalis Kapsos & Steve Zymler & Nicos Christofides and Berç Rustem - 2364549 Numerical algorithms for research and development stochastic control models
by Chi Man Leung and Yue Kuen Kwok - 2364551 Counterparty credit risk pricing and measurement of swaption portfolios
by Matt Thompson - 2364554 Value function approximation or stopping time approximation: a comparison of two recent numerical methods for American option pricing using simulation and regression
by Lars Stentoft - 2386128 Fourier transform algorithms for pricing and hedging discretely sampled exotic variance products and volatility derivatives under additive processes
by Wendong Zheng and Yue Kuen Kwok - 2386135 Efficient variations of the Fourier transform in applications to option pricing
by Svetlana Boyarchenko and Sergei Levendorski˘ı - 2386140 Application of the improved fast Gauss transform to option pricing under jump-diffusion processes
by Takayuki Sakuma and Yuji Yamada - 2386142 Option calibration of exponential Lévy models: confidence intervals and empirical results
by Jakob Söhl and Mathias Trabs - 2397220 An efficient Monte Carlo method for discrete variance contracts
by Nicolas Merener and Leonardo Vicchi - 2399882 The density of distributions from the Bondesson class
by German Bernhart & Jan-Frederik Mai & Steffen Schenk and Matthias Scherer - 2400404 Corrigendum
by Ralf Korn and Qian Liang - 2406534 The damped Crank–Nicolson time-marching scheme for the adaptive solution of the Black–Scholes equation
by Christian Goll & Rolf Rannacher and Winnifried Wollner - 2407056 An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivatives
by Duy-Minh Dang & Christina C. Christara & Kenneth R. Jackson and Asif Lakhany - 2407058 A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
by Radha Krishn Coonjobeharry & Désiré Yannick Tangman and Muddun Bhuruth - 2410444 Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
by Christoph Reisinger & Rasmus Wissmann - 2419577 A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
by Riccardo Rebonato - 2419833 A novel Fourier transform B-spline method for option pricing
by Gareth G. Haslip and Vladimir K. Kaishev - 2419841 On the application of spectral filters in a Fourier option pricing technique
by M. J. Ruijter & M. Versteegh and C.W. Oosterlee - 2419843 A robust set-valued scenario approach for handling modeling risk in portfolio optimization
by Shushang Zhu & Xiaodong Ji and Duan Li - 2432431 Optimal investment: bounds and heuristics
by L. C. G. Rogers and P. Zaczkowski - 2432443 Numerical methods for the quadratic hedging problem in Markov models with jumps
by Carmine De Franco & Peter Tankov & Xavier Warin - 2432446 SLADI: a semi-Lagrangian alternating-direction implicit method for the numerical solution of advection–diffusion problems with application to electricity storage valuations
by Javier Hernández à valos & Paul V. Johnson & Peter W. Duck - 2439189 Updating the option implied probability of default methodology
by Johannes Vilsmeier - 2439194 The efficient application of automatic differentiation for computing gradients in financial applications
by Wei Xu & Xi Chen & Thomas F. Coleman - 2442247 Efficient solution of backward jump-diffusion partial integro-differential equations with splitting and matrix exponentials
by Andrey Itkin - 2447083 Stratified approximations for the pricing of options on average
by Nicolas Privault & Jiadong Yu - 2447110 A new improvement scheme for approximation methods of probability density functions
by Akihiko Takahashi & Yukihiro Tsuzuki - 2447114 Accelerated trinomial trees applied to American basket options and American options under the Bates model
by Conall O’Sullivan & Stephen O’Sullivan - 2447117 Wiener chaos expansion and numerical solutions of the Heath–Jarrow–Morton interest rate model
by Nikolaos Thomaidis & Evangelia A. Kalpinelli & Athanasios N. Yannacopoulos - 2457205 Extended saddlepoint methods for credit risk measurement
by Rubén GarcÃa-Céspedes & Manuel Moreno - 2457210 Valuation of options on discretely sampled variance: a general analytic approximation
by Gabriel Drimus & Walter Farkas & Elise Gourier - 2457245 Transform-based evaluation of prices and Greeks of lookback options driven by Lévy processes
by Naser M. Asghari & Michel Mandjes - 2457265 Faster comparison of stopping times by nested conditional Monte Carlo
by Fabian Dickmann & Nikolaus Schweizer - 2463775 From arbitrage to arbitrage-free implied volatilities
by Cornelis W. Oosterlee & Lech A. Grzelak - 2464610 Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
by Cornelis W. Oosterlee & Qian Feng & Shashi Jain & Patrik Karlsson & Drona Kandhai - 2464618 An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
by Dan Zhu & Mark S. Joshi - 2464624 Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets
by Peter Carr & Ajay Khanna and Dilip B. Madan - 2464637 Numerical solution of the Hamilton–Jacobi–Bellman formulation for continuous-time mean–variance asset allocation under stochastic volatility
by K Ma & P. A. Forsyth - 2465049 A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston–Cox–Ingersoll–Ross model
by Andrei Cozma & Christoph Reisinger - 2465429 Finite difference techniques for arbitrage-free SABR
by Fabien Le Floc’h & Gary Kennedy - 2465433 The forward smile in local–stochastic volatility models
by Andrea Pascucci & Andrea Mazzon - 2471206 The probability of backtest overfitting
by David H. Bailey & Jonathan M. Borwein & Marcos López de Prado & Qiji Jim Zhu - 2472041 Valuation of barrier options using sequential Monte Carlo
by Pavel V Shevchenko & Pierre Del Moral - 2472046 An efficient convergent lattice method for Asian option pricing with superlinear complexity
by Ling Lu & Wei Xu & Zhehui Qian - 2478737 Error analysis in Fourier methods for option pricing
by Fabián Crocce & Juho Häppölä & Jonas Kiessling & Raul Tempone - 2478931 Smile with the Gaussian term structure model
by Abdelkoddousse Ahdida & Aurélien Alfonsi & Ernesto Palidda - 3945866 Efficient pricing and super-replication of corridor variance swaps and related products
by Christoph Burgard & Olaf Torné - 5315456 A new nonlinear partial differential equation in finance and a method of its solution
by Andrey Itkin - 5315521 Local variance gamma revisited
by Markus Falck & Mikhail Deryabin - 5315561 Local volatility models in commodity markets and online calibration
by Vinicius Albani & Uri M. Ascher & Jorge P Zubelli - 5315576 A nonparametric local volatility model for swaptions smile
by Dariusz Gątarek & Juliusz Jabłecki - 5316511 Efficient valuation of equity-indexed annuities under Lévy processes using Fourier cosine series
by Geng Deng & Tim Dulaney & Craig McCann & Mike Yan - 5316546 A generalized risk budgeting approach to portfolio construction
by Martin Haugh & Garud Iyengar & Irene Song - 5316576 Robust option pricing with characteristic functions and the B-spline order of density projection
by Justin Lars Kirkby - 5316591 European option pricing under geometric Lévy processes with proportional transaction costs
by Haipeng Xing & Yang Yu & Tiong Wee Lim - 5363776 A hybrid tree/finite-difference approach for Heston–Hull–White-type models
by Maya Briani & Lucia Caramellino & Antonino Zanette - 5363811 Cumulative prospect theory and mean–variance analysis: a rigorous comparison
by Thorsten Hens & János Mayer - 5363836 Volatility risk structure for options depending on extrema
by Tomonori Nakatsu - 5363961 Pricing multidimensional financial derivatives with stochastic volatilities using the dimensional-adaptive combination technique
by Janos Benk & Dirk Pflüger - 5399911 Adjoint algorithmic differentiation tool support for typical numerical patterns in computational finance
by Uwe Naumann & Jacques du Toit - 5399916 Monte Carlo payoff smoothing for pricing autocallable instruments
by Frank Koster & Achim Rehmet - 5529736 Pricing multivariate barrier reverse convertibles with factor-based subordinators
by Marina Marena & Andrea Romeo & Patrizia Semeraro - 5529741 Hybrid finite-difference/pseudospectral methods for the Heston and Heston–Hull–White partial differential equations
by Christian Hendricks & Matthias Ehrhardt & Michael Günther - 5712651 Importance sampling for jump–diffusions via cross-entropy
by Rebecca Rieke & Weifeng Sun & Hui Wang - 5902176 Bermudan swaption model risk analysis: a local volatility approach
by Juliusz Jabłecki - 5940526 Polynomial upper and lower bounds for financial derivative price functions under regime-switching
by Louis Bhim & Reiichiro Kawai - 6063376 Dilated convolutional neural networks for time series forecasting
by Anastasia Borovykh & Sander Bohte & Cornelis W. Oosterlee - 6159231 Hedging of options in the presence of jump clustering
by Donatien Hainaut & Franck Moraux - 6165596 Portfolio optimization for American options
by Yaxiong Zeng & Diego Klabjan - 6226906 American and exotic option pricing with jump diffusions and other Lévy processes
by Justin Lars Kirkby - 6306041 A pairwise local correlation model
by Frank Koster & Daniel Oeltz - 6310441 Fast stochastic forward sensitivities in Monte Carlo simulations using stochastic automatic differentiation (with applications to initial margin valuation adjustments)
by Christian Fries - 6310446 ε-monotone Fourier methods for optimal stochastic control in finance
by Peter A. Forsyth & George Labahn - 6495066 Yield curve fitting with artificial intelligence: a comparison of standard fitting methods with artificial intelligence algorithms
by Achim Posthaus - 6569771 Efficient conservative second-order central-upwind schemes for option-pricing problems
by Omishwary Bhatoo & Arshad Ahmud Iqbal Peer & Eitan Tadmor & Désiré Yannick Tangman & Aslam Aly El Faidal Saib - 6627881 A new approach to the quantification of model risk for practitioners
by Zuzana KrajÄ oviÄ ová & Pedro Pablo Pérez-Velasco & Carlos Vázquez - 6667226 Application of the Heath–Platen estimator in the Fong–Vasicek short rate model
by Sema Coskun & Ralf Korn & Sascha Desmettre - 6685901 Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method
by Rongju Zhang & Nicolas Langrené & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza - 6775421 Complexity reduction for calibration to American options
by Olena Burkovska & Kathrin Glau & Mirco Mahlstedt & Barbara Wohlmuth - 6775501 Path-dependent American options
by Etienne Chevalier & Vathana Ly Vath & Mohamed Mnif - 6903411 The two-dimensional tree–grid method
by Igor Kossaczký & Matthias Ehrhardt & Michael Günther - 6969636 Path independence of exotic options and convergence of binomial approximations
by Guillaume Leduc & Kenneth J. Palmer - 7100526 Variance optimal hedging with application to electricity markets
by Xavier Warin - 7243911 The Chebyshev method for the implied volatility
by Kathrin Glau & Paul Herold & Dilip B. Madan & Christian Pötz - 7370406 Pricing American call options using the Black–Scholes equation with a nonlinear volatility function
by Maria do Rosário Grossinho & Yaser Faghan Kord & Daniel Å evÄ oviÄ - 7370901 A shrinking horizon optimal liquidation framework with lower partial moments criteria
by Hassan Anis & Roy H. Kwon - 7398376 Extremal risk management: expected shortfall value verification using the bootstrap method
by Marta Malecka - 7533951 Option pricing in exponential Lévy models with transaction costs
by Nicola Cantarutti & Manuel Guerra & João Guerra & Maria do Rosário Grossinho - 7533976 Numerical simulation and applications of the convection–diffusion–reaction equation with the radial basis function in a finite-difference mode
by Reza Mollapourasl & Majid Haghi & Alfa Heryudono - 7649036 Dynamic refinement of the term structure: time-homogeneous term structure modeling
by Christian Fries - 7656071 Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations
by Stéphane Crépey & Matthew F. Dixon - 7706866 On extensions of the Barone-Adesi and Whaley method to price American-type options
by Ludovic Mathys - 7714001 Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach
by Jérôme Lelong - 7714006 Pricing multiple barrier derivatives under stochastic volatility
by Marcos Escobar & Sven Panz & Rudi Zagst - 7714011 Finding the nearest covariance matrix: the foreign exchange market case
by Aleksey Minabutdinov & Ilya Manaev & Maxim Bouev - 7729116 Numerical techniques for the Heston collocated volatility model
by Fabien Le Floc’h & Cornelis W. Oosterlee - 7806476 Nowcasting networks
by Marc Chataigner & Stéphane Crépey & Jiang Pu - 7812386 Gradient boosting for quantitative finance
by Jesse Davis & Laurens Devos & Sofie Reyners & Wim Schoutens - 7814116 Penalty methods for bilateral XVA pricing in European and American contingent claims by a partial differential equation model
by Yuwei Chen & Christina C. Christara - 7815806 Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
by Alan Bain & Matthieu Mariapragassam & Christoph Reisinger - 7816471 The CTMC–Heston model: calibration and exotic option pricing with SWIFT
by à lvaro Leitao & Justin Lars Kirkby & Luis Ortiz-Gracia - 7844756 The effects of transaction costs and illiquidity on the prices of volatility derivatives
by Mehzabeen Jumanah Dilloo & Désiré Yannick Tangman - 7850236 A simple and robust approach for expected shortfall estimation
by Zhibin Pan & Tao Pang & Yang Zhao - 7854946 Expansion method for pricing foreign exchange options under stochastic volatility and interest rates
by Kenji Nagami - 7857176 Fast pricing of American options under variance gamma
by Weilong Fu & Ali Hirsa - 7864806 Pricing American options under negative rates
by Jherek Healy - 7869926 Quantization-based Bermudan option pricing in the foreign exchange world
by Jean-Michel Fayolle & Vincent Lemaire & Thibaut Montes & Gilles Pagès - 7871526 Deep learning for discrete-time hedging in incomplete markets
by Simon Fecamp & Joseph Mikael & Xavier Warin - 7888656 An artificial neural network representation of the SABR stochastic volatility model
by William A. McGhee - 7900456 A review of tree-based approaches to solving forward–backward stochastic differential equations
by Long Teng - 7901531 Branching diffusions with jumps, and valuation with systemic counterparties
by Christoph Belak & Daniel Hoffmann & Frank Seifried - 7902041 Rainbows and transforms: semi-analytic formulas
by Norberto Laghi - 7907186 Probabilistic machine learning for local volatility
by Martin Tegnér & Stephen Roberts - 7931356 Automatic differentiation for diffusion operator integral variance reduction
by Johan Auster - 7932281 Robust product Markovian quantization
by Ralph Rudd & Thomas A. McWalter & Jörg Kienitz & Eckhard Platen - 7934361 Stability and convergence of Galerkin schemes for parabolic equations with application to Kolmogorov pricing equations in time-inhomogeneous Lévy models
by Maximillian Gaß & Kathrin Glau - 7938986 Pricing barrier options with deep backward stochastic differential equation methods
by Narayan Ganesan & Yajie Yu & Bernhard Hientzsch - 7952101 Deep learning for efficient frontier calculation in finance
by Xavier Warin - 7952596 A general firm value model under partial information
by Cheikh Mbaye & Abass Sagna & Frédéric Vrins - 7953256 Optimal trade execution with uncertain volume target
by Julien Vaes & Raphael Hauser - 7954858 Adjoint differentiation for generic matrix functions
by Andrei Goloubentsev & Dmitri Goloubentsev & Evgeny Lakshtanov - 7955162 Analytical conversion between implied volatilities based on different dividend models
by Vladimir Lucic & Vladimir Jovanović - 7955793 Least squares Monte Carlo methods in stochastic Volterra rough volatility models
by Henrique Guerreiro & João Guerra - 7956062 Robust pricing and hedging via neural stochastic differential equations
by Patrick Gierjatowicz & Marc Sabate-Vidales & David Å iÅ¡ka & Å ukasz Szpruch & Žan ŽuriÄ - 7956178 Estimating risks of European option books using neural stochastic differential equation market models
by Samuel N. Cohen & Christoph Reisinger & Sheng Wang - 7957030 Sharp L¹-approximation of the log-Heston stochastic differential equation by Euler-type methods
by Annalena Mickel & Andreas Neuenkirch - 7957092 Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model
by Karel in 't Hout & Pieter Lamotte - 7957100 Modeling the bid and ask prices of options
by Dilip B. Madan & Wim Schoutens & King Wang - 7957441 Neural stochastic differential equations for conditional time series generation using the Signature-Wasserstein-1 metric
by Pere DÃaz Lozano & Toni Lozano Bagén & Josep Vives - 7957762 Automatic adjoint differentiation for special functions involving expectations
by José Brito & Andrei Goloubentsev & Evgeny Goncharov - 7957920 Refined analysis of the no-butterfly-arbitrage domain for SSVI slices
by Claude Martini & Arianna Mingone - 7958052 Hedging of financial derivative contracts via Monte Carlo tree search
by Oleg Szehr - 7958436 Neural variance reduction for stochastic differential equations
by P. D. Hinds & M. V. Tretyakov - 7958695 Optimal damping with a hierarchical adaptive quadrature for efficient Fourier pricing of multi-asset options in Lévy models
by Christian Bayer & Chiheb Ben Hammouda & Antonis Papapantoleon & Michael Samet & Raul Tempone - 7958727 Evaluating credit valuation adjustment with wrong-way risk for Bermudan options
by Bing Dong & Wei Xu & Guangguang Wang - 7959593 An equity-implied rating model for unrated firms
by Mauricio Gonzalez & Rémy Estran - 7959594 A simple local correlation model
by Frank Koster - 7959611 A multidimensional transform for pricing American options under stochastic volatility models
by Natalia Beliaeva & Ye Chen & Sanjay Nawalkha & Michael Sullivan & Sami Zreik - 7959935 An iterative copula method for probability density estimation
by Michael Roitman - 7959937 Clustering market regimes using the Wasserstein distance
by Blanka Horvath & Zacharia Issa & Aitor Muguruza - 7960422 Option pricing under the normal stochastic alpha–beta–rho model with Gaussian quadratures
by Jaehyuk Choi & Byoung Ki Seo - 7960485 Multiperiod static hedging of European options
by Purba Banerjee & Srikanth Iyer & Shashi Jain - 7960553 On the boundary conditions adopted in stochastic volatility option pricing models
by Song-Ping Zhu & Chun-Yang Liu - 7960701 Pricing American options under irrational behavior in a Markov regime-switching model with a finite-element method
by Mohammad Saber Rohi & Saghar Heidari & Hossein Azari - 7960720 Pricing time-capped American options using a least squares Monte Carlo method
by Paweł Stȩpniak & Zbigniew Palmowski - 7961655 A flexible commodity skew model with maturity effects
by Orcan Ögetbil & Bernhard Hientzsch - 7961673 An explicit scheme for pathwise cross valuation adjustment computations
by Lokman Abbas Turki & Stéphane Crépey & Botao Li & Bouazza Saadeddine - 7961690 Convexity adjustments à la Malliavin
by David GarcÃa-Lorite & Raúl Merino - 7961834 On deep portfolio optimization with stocks, bonds and options
by Kristoffer Andersson & Cornelis W. Oosterlee - 7961841 Total value adjustment in a multicurrency framework with stochastic exchange rates and mean-reversion spreads
by à ñigo Arregui & Mirco Martini & Roberta Simonella & Carlos Vázquez - 7961842 Machine learning and a Hamilton–Jacobi–Bellman equation for optimal decumulation: a comparison study
by Marc Chen & Mohammad Shirazi & Peter A. Forsyth & Yuying Li - 7962388 Deep self-consistent learning of local volatility
by Zhe Wang & Ameir Shaa & Nicolas Privault & Claude Guet - 7962478 Robust financial calibration: a Bayesian approach for neural stochastic differential equations
by Christa Cuchiero & Eva Flonner & Kevin Kurt - 7962488 An efficient numerical method for pricing American options and their Greeks under the two-asset Kou jump-diffusion model
by Karel in 't Hout - 7962850 Policy gradient methods for optimal trade execution in limit order books
by Michael Giegrich & Roel Oomen & Christoph Reisinger - 7962942 Stochastic path-dependent volatility models for price–storage dynamics in natural gas markets and discrete-time swing option pricing
by Jinniao Qiu & Antony Frank Ware & Yang Yang - 7963116 Strong order-one-half convergence of the projected Euler–Maruyama method for the Cox–Ingersoll–Ross model
by Yiyi Tang - 7963119 Fast calculation of cheapest-to-deliver curves
by Alexander Kemarsky & Wouter Van Der Helm & Vladimir Piterbarg - 7963154 An efficient algorithm to compute correlation Greeks
by Antoine Vandendorpe