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Numerical Methods for Finance
14 references·11 citing·31 second hop
Numerical Methods for Finance (2007)Numerical Methods for Finance“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Implementing Derivative Models (2013)Implementing Derivative ModelsTools for Computational Finance (2012)Tools for Computational Finan…Mathematical Models of Financial Derivatives (2008)Mathematical Models of Financ…Paul Wilmott on Quantitative Finance (2006)Paul Wilmott on Quantitative …Optimization Methods in Finance (2006)Optimization Methods in Finan…Numerical Methods in Finance and Economics: A MATLAB-Based Introduction (2006)Numerical Methods in Finance …Computational Methods for Option Pricing (2005)Computational Methods for Opt…An Introduction to Financial Option Valuation (2004)An Introduction to Financial …Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Monte Carlo methods in finance (2002)Monte Carlo methods in financePricing Financial Instruments: The Finite Difference Method (2000)Pricing Financial Instruments…The Mathematics of Financial Derivatives (1995)The Mathematics of Financial …Options, Futures, and Other Derivative Securities. (1990)Options, Futures, and Other D…The Effects of a Low Interest Rate Environment on Life Insurers (2015)The Effects of a Low Interest…Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks (2014)Nonlinear consistent valuatio…PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK (2013)PRICING COUNTERPARTY RISK INC…Pricing and Mitigation of Counterparty Credit Exposures (2013)Pricing and Mitigation of Cou…Quantifying credit and market risk under Solvency II: Standard approach versus internal model (2012)Quantifying credit and market…COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES (2012)COUNTERPARTY RISK PRICING: IM…Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk (2011)Credit Calibration with Struc…ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS (2011)ARBITRAGE-FREE VALUATION OF B…Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance (2009)Efficient deterministic numer…An efficient implementation of a least squares Monte Carlo method for valuing American-style options (2009)An efficient implementation o…An irregular grid approach for pricing high-dimensional American options (2007)An irregular grid approach fo…An experimental analysis of multi-attribute auctions (2000)PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES (2004)Convergence of Monte Carlo simulations involving the mean-reverting square root process (2005)Stochastic volatility models (2010)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints (2009)60 Years of portfolio optimization: Practical challenges and current trends (2013)Twenty years of linear programming based portfolio optimization (2013)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)A comparison of biased simulation schemes for stochastic volatility models (2009)Monte Carlo and Quasi-Monte Carlo Methods (2013)Survival Analysis Methods for Personal Loan Data (2002)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Universal option valuation using quadrature methods (2003)Hitting time distributions in financial markets (2007)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model (2008)Partial Differential Equations (2010)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Measuring Market Risk (2005)Irreversibility, Uncertainty, and Investment (1990)Noise Dressing of Financial Correlation Matrices (1999)A Jump-Diffusion Model for Option Pricing (2002)
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  • 1990Options, Futures, and Other Derivative Securities.1,244 cited
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  • 2005Computational Methods for Option Pricing386 cited
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Cited by

  • 2015The Effects of a Low Interest Rate Environment on Life Insurers58 cited
  • 2014Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks

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53 cited
  • 2011ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS48 cited
  • 2012Quantifying credit and market risk under Solvency II: Standard approach versus internal model47 cited
  • 2011Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk29 cited
  • 2012COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES25 cited
  • 2009An efficient implementation of a least squares Monte Carlo method for valuing American-style options23 cited
  • 2013Pricing and Mitigation of Counterparty Credit Exposures20 cited
  • 2013PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK19 cited
  • 2009Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance16 cited
  • 2007An irregular grid approach for pricing high-dimensional American options16 cited