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- 7960553 On the boundary conditions adopted in stochastic volatility option pricing models
by Song-Ping Zhu & Chun-Yang Liu - 7960700 Deep equal risk pricing of illiquid derivatives with multiple hedging instruments
by Alexandre Carbonneau & Frédéric Godin - 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