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Implementing Derivative Models
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Implementing Derivative Models (2013)Implementing Derivative ModelsStochastic Gradient Estimation (2014)Stochastic Gradient EstimationImplementing Derivative Models (2013)Implementing Derivative ModelsFinite-Element Methods (2012)Finite-Element MethodsNumerical Methods for Finance (2007)Numerical Methods for FinancePricing exotic options in a path integral approach (2006)Pricing exotic options in a p…Two-factor convertible bonds valuation using the method of characteristics/finite elements (2003)Two-factor convertible bonds …The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Coherent Measures of Risk (1999)A Stochastic Approximation Method (1951)Simulation Modeling and Analysis. (1983)Monte Carlo Methods in Financial Engineering (2003)A Model Reference Adaptive Search Method for Stochastic Global Optimization (2008)Enhancing Stochastic Kriging Metamodels with Gradient Estimators (2013)A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters (2018)Path integral approach to Asian options in the Black–Scholes model (2009)Path integral and asset pricing (2015)“Options, Futures, and Other Derivatives” (2016)A backward Monte Carlo approach to exotic option pricing (2017)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange–Galerkin methods (2006)Lapse rate modeling: a rational expectation approach (2008)Evaluating callable and putable bonds: An eigenfunction expansion approach (2012)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Multiscale Stochastic Volatility with the Hull–White Rate of Interest (2013)Options, Futures, and Other Derivative Securities. (1990)ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS (2011)Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks (2014)The Effects of a Low Interest Rate Environment on Life Insurers (2015)
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  • 2014Stochastic Gradient Estimation90 cited
  • 2003Two-factor convertible bonds valuation using the method of characteristics/finite elements67 cited
  • 2007Numerical Methods for Finance56 cited
  • 2012Finite-Element Methods46 cited
  • 2006Pricing exotic options in a path integral approach28 cited
  • 2013Implementing Derivative Models25 cited

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