Journal of Computational Finance

From Journal of Computational Finance
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Pricing time-capped American options using a least squares Monte Carlo method: PaweÅ‚ StÈ©pniak and Zbigniew Palmowski
Pricing American options under irrational behavior in a Markov regime-switching model with a finite-element method: Mohammad Saber Rohi, Saghar Heidari and Hossein Azari
Deep equal risk pricing of illiquid derivatives with multiple hedging instruments: Alexandre Carbonneau and FrÃ©dÃ©ric Godin
On the boundary conditions adopted in stochastic volatility option pricing models: Song-Ping Zhu and Chun-Yang Liu
Multiperiod static hedging of European options: Purba Banerjee, Srikanth Iyer and Shashi Jain
Option pricing under the normal stochastic alphaâ€“betaâ€“rho model with Gaussian quadratures: Jaehyuk Choi and Byoung Ki Seo
Pricing high-dimensional Bermudan options using deep learning and higher-order weak approximation: Riu Naito and Toshihiro Yamada
Clustering market regimes using the Wasserstein distance: Blanka Horvath, Zacharia Issa and Aitor Muguruza
An iterative copula method for probability density estimation: Michael Roitman
A multidimensional transform for pricing American options under stochastic volatility models: Natalia Beliaeva, Ye Chen, Sanjay Nawalkha, Michael Sullivan and Sami Zreik
A simple local correlation model: Frank Koster
Evaluating credit valuation adjustment with wrong-way risk for Bermudan options: Bing Dong, Wei Xu and Guangguang Wang
Optimal damping with a hierarchical adaptive quadrature for efficient Fourier pricing of multi-asset options in LÃ©vy models: Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon, Michael Samet and Raul Tempone
Extremiles, quantiles and expectiles in the tails: Marilena Furno
Neural variance reduction for stochastic differential equations: P. D. Hinds and M. V. Tretyakov
Hedging of financial derivative contracts via Monte Carlo tree search: Oleg Szehr
Refined analysis of the no-butterfly-arbitrage domain for SSVI slices: Claude Martini and Arianna Mingone
Automatic adjoint differentiation for special functions involving expectations: JosÃ© Brito, Andrei Goloubentsev and Evgeny Goncharov
Neural stochastic differential equations for conditional time series generation using the Signature-Wasserstein-1 metric: Pere DÃaz Lozano, Toni Lozano BagÃ©n and Josep Vives
Toward a unified implementation of regression Monte Carlo algorithms: Mike Ludkovski
A general control variate method for time-changed LÃ©vy processes: an application to options pricing: Kenichiro Shiraya, Cong Wang and Akira Yamazaki
Modeling the bid and ask prices of options: Dilip B. Madan, Wim Schoutens and King Wang
Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model: Karel in 't Hout and Pieter Lamotte
Sharp LÂ¹-approximation of the log-Heston stochastic differential equation by Euler-type methods: Annalena Mickel and Andreas Neuenkirch
An optimal control strategy for execution of large stock orders using long short-term memory networks: Andrew Papanicolaou, Hao Fu, Prasanth Krishnamurthy, Brian Healy and Farshad Khorrami
Estimating risks of European option books using neural stochastic differential equation market models: Samuel N. Cohen, Christoph Reisinger and Sheng Wang
Robust pricing and hedging via neural stochastic differential equations: Patrick Gierjatowicz, Marc Sabate-Vidales, David Å iÅ¡ka, Å ukasz Szpruch and Å½an Å½uriÄ
Least squares Monte Carlo methods in stochastic Volterra rough volatility models: Henrique Guerreiro and JoÃ£o Guerra
Analytical conversion between implied volatilities based on different dividend models: Vladimir Lucic and Vladimir JovanoviÄ‡
Adjoint differentiation for generic matrix functions: Andrei Goloubentsev, Dmitri Goloubentsev and Evgeny Lakshtanov
Simulating the Coxâ€“Ingersollâ€“Ross and Heston processes: matching the first four moments: Ostap Okhrin, Michael Rockinger and Manuel Schmid
Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model: Florian Bourgey and Stefano De Marco
Pricing the correlation skew with normal meanâ€“variance mixture copulas: Ignacio LujÃ¡n FernÃ¡ndez
Optimal trade execution with uncertain volume target: Julien Vaes and Raphael Hauser
Deep learning for efficient frontier calculation in finance: Xavier Warin
Subsampling and other considerations for efficient risk estimation in large portfolios: Michael B. Giles and Abdul-Lateef Haji-Ali
Pricing barrier options with deep backward stochastic differential equation methods: Narayan Ganesan, Yajie Yu and Bernhard Hientzsch
Stability and convergence of Galerkin schemes for parabolic equations with application to Kolmogorov pricing equations in time-inhomogeneous LÃ©vy models: Maximillian GaÃŸ and Kathrin Glau
Robust product Markovian quantization: Ralph Rudd, Thomas A. McWalter, JÃ¶rg Kienitz and Eckhard Platen
Automatic differentiation for diffusion operator integral variance reduction: Johan Auster
Rainbows and transforms: semi-analytic formulas: Norberto Laghi
Branching diffusions with jumps, and valuation with systemic counterparties: Christoph Belak, Daniel Hoffmann and Frank Seifried
A review of tree-based approaches to solving forwardâ€“backward stochastic differential equations: Long Teng
An artificial neural network representation of the SABR stochastic volatility model: William A. McGhee
Deep learning for discrete-time hedging in incomplete markets: Simon Fecamp, Joseph Mikael and Xavier Warin
Quantization-based Bermudan option pricing in the foreign exchange world: Jean-Michel Fayolle, Vincent Lemaire, Thibaut Montes and Gilles PagÃ¨s
Pricing American options under negative rates: Jherek Healy
Fast pricing of American options under variance gamma: Weilong Fu and Ali Hirsa
Expansion method for pricing foreign exchange options under stochastic volatility and interest rates: Kenji Nagami
A simple and robust approach for expected shortfall estimation: Zhibin Pan, Tao Pang and Yang Zhao
The effects of transaction costs and illiquidity on the prices of volatility derivatives: Mehzabeen Jumanah Dilloo and DÃ©sirÃ© Yannick Tangman
The CTMCâ€“Heston model: calibration and exotic option pricing with SWIFT: Ã lvaro Leitao, J. Lars Kirkby and Luis Ortiz-Gracia
Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options: Alan Bain, Matthieu Mariapragassam and Christoph Reisinger
Penalty methods for bilateral XVA pricing in European and American contingent claims by a partial differential equation model: Yuwei Chen and Christina C. Christara
Gradient boosting for quantitative finance: Jesse Davis, Laurens Devos, Sofie Reyners and Wim Schoutens
Numerical techniques for the Heston collocated volatility model: Fabien Le Flocâ€™h and Cornelis W. Oosterlee
A Libor market model including credit risk under the real-world measure: Sara Dutra Lopes and Carlos VÃ¡zquez
Introducing two mixing fractions to a lognormal local-stochastic volatility model: Geoffrey Lee, Bowie Owens and Zili Zhu
Finding the nearest covariance matrix: the foreign exchange market case: Aleksey Minabutdinov, Ilya Manaev and Maxim Bouev
Pricing multiple barrier derivatives under stochastic volatility: Marcos Escobar Anel, Sven Panz and Rudi Zagst
Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach: JÃ©rÃ´me Lelong
On extensions of the Barone-Adesi and Whaley method to price American-type options: Ludovic Mathys
Neural networks for option pricing and hedging: a literature review: Johannes Ruf and Weiguan Wang
Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations: StÃ©phane CrÃ©pey and Matthew F. Dixon
Dynamic refinement of the term structure: time-homogeneous term structure modeling: Christian Fries
High-order approximations to call option prices in the Heston model: Archil Gulisashvili, Marc Lagunas-Merino, RaÃºl Merino and Josep Vives
Numerical simulation and applications of the convectionâ€“diffusionâ€“reaction equation with the radial basis function in a finite-difference mode: Reza Mollapourasl, Majid Haghi and Alfa Heryudono
Monte Carlo pathwise sensitivities for barrier options: Thomas Gerstner, Bastian Harrach and Daniel Roth
Option pricing in exponential LÃ©vy models with transaction costs: Nicola Cantarutti, Manuel Guerra, JoÃ£o Guerra and Maria do RosÃ¡rio Grossinho
An adaptive Monte Carlo approach for pricing Parisian options with general boundaries: Sercan GÅ±r
Extremal risk management: expected shortfall value verification using the bootstrap method: Marta Malecka
Second-order Monte Carlo sensitivities in linear or constant time: Roberto Daluiso
A shrinking horizon optimal liquidation framework with lower partial moments criteria: Hassan Anis and Roy H. Kwon
Pricing American call options using the Blackâ€“Scholes equation with a nonlinear volatility function: Maria do RosÃ¡rio Grossinho, Yaser Faghan Kord and Daniel Å evÄ oviÄ
The Chebyshev method for the implied volatility: Kathrin Glau, Paul Herold, Dilip B. Madan and Christian PÃ¶tz
One-dimensional Markov-functional models driven by a non-Gaussian driver: Jaka Gogala and Joanne Kennedy
Variance optimal hedging with application to electricity markets: Xavier Warin
The standard market risk model of the Swiss solvency test: an analytic solution: Andras Niedermayer
Path independence of exotic options and convergence of binomial approximations: Guillaume Leduc and Kenneth J. Palmer
The two-dimensional treeâ€“grid method: Igor KossaczkÃ½, Matthias Ehrhardt and Michael GÃ¼nther
Path-dependent American options: Etienne Chevalier, Vathana Ly Vath and Mohamed Mnif
Complexity reduction for calibration to American options: Olena Burkovska, Kathrin Glau, Mirco Mahlstedt and Barbara Wohlmuth
Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method: Rongju Zhang, Nicolas LangrenÃ©, Yu Tian, Zili Zhu, Fima Klebaner and Kais Hamza
Application of the Heathâ€“Platen estimator in the Fongâ€“Vasicek short rate model: Sema Coskun, Ralf Korn and Sascha Desmettre
A new approach to the quantification of model risk for practitioners: Zuzana KrajÄ oviÄ ovÃ¡, Pedro Pablo PÃ©rez-Velasco and Carlos VÃ¡zquez
Calculate tail quantiles of compound distributions: Azamat Abdymomunov, Filippo Curti and Hayden Kane
Efficient conservative second-order central-upwind schemes for option-pricing problems: Omishwary Bhatoo, Arshad Ahmud Iqbal Peer, Eitan Tadmor, DÃ©sirÃ© Yannick Tangman and Aslam Aly El Faidal Saib
The extended SSVI volatility surface: Sebas Hendriks and Claude Martini
Yield curve fitting with artificial intelligence: a comparison of standard fitting methods with artificial intelligence algorithms: Achim Posthaus
Ensemble models in forecasting financial markets: Andreas Karathanasopoulos, Mitra Sovan, Chia Chun Lo, Adam Zaremba and Mohammed Osman
Îµ-monotone Fourier methods for optimal stochastic control in finance: Peter A. Forsyth and George Labahn
Fast stochastic forward sensitivities in Monte Carlo simulations using stochastic automatic differentiation (with applications to initial margin valuation adjustments): Christian Fries
A pairwise local correlation model: Frank Koster and Daniel Oeltz
An adaptive Filon quadrature for stochastic volatility models: Fabien Le Flocâ€™h
Portfolio optimization for American options: Yaxiong Zeng and Diego Klabjan
Hedging of options in the presence of jump clustering: Donatien Hainaut and Franck Moraux
Dilated convolutional neural networks for time series forecasting: Anastasia Borovykh, Sander Bohte and Cornelis W. Oosterlee
Polynomial upper and lower bounds for financial derivative price functions under regime-switching: Louis Bhim and Reiichiro Kawai
Vibrato and automatic differentiation for high-order derivatives and sensitivities of financial options: Gilles PagÃ¨s, Olivier Pironneau and Guillaume Sall
Bermudan swaption model risk analysis: a local volatility approach: Juliusz JabÅ‚ecki
Kriging metamodels and experimental design for Bermudan option pricing: Mike Ludkovski
Importance sampling for jumpâ€“diffusions via cross-entropy: Rebecca Rieke, Weifeng Sun and Hui Wang
Importance sampling applied to Greeks for jumpâ€“diffusion models with stochastic volatility: Sergio De Diego, Eva Ferreira and EulÃ lia Nualart
Hybrid finite-difference/pseudospectral methods for the Heston and Hestonâ€“Hullâ€“White partial differential equations: Christian Hendricks, Matthias Ehrhardt and Michael GÃ¼nther
Pricing multivariate barrier reverse convertibles with factor-based subordinators: Marina Marena, Andrea Romeo and Patrizia Semeraro
Monte Carlo payoff smoothing for pricing autocallable instruments: Frank Koster and Achim Rehmet
Adjoint algorithmic differentiation tool support for typical numerical patterns in computational finance: Uwe Naumann and Jacques du Toit
Pricing multidimensional financial derivatives with stochastic volatilities using the dimensional-adaptive combination technique: Janos Benk and Dirk PflÃ¼ger
Volatility risk structure for options depending on extrema: Tomonori Nakatsu
Cumulative prospect theory and meanâ€“variance analysis: a rigorous comparison: Thorsten Hens and JÃ¡nos Mayer
A hybrid tree/finite-difference approach for Hestonâ€“Hullâ€“White-type models: Maya Briani, Lucia Caramellino and Antonino Zanette
European option pricing under geometric LÃ©vy processes with proportional transaction costs: Haipeng Xing, Yang Yu and Tiong Wee Lim
Robust option pricing with characteristic functions and the B-spline order of density projection: J. Lars Kirkby
A generalized risk budgeting approach to portfolio construction: Martin Haugh, Garud Iyengar and Irene Song
Efficient valuation of equity-indexed annuities under LÃ©vy processes using Fourier cosine series: Geng Deng, Tim Dulaney, Craig McCann and Mike Yan
A nonparametric local volatility model for swaptions smile: Dariusz GÄ…tarek and Juliusz JabÅ‚ecki
Local volatility models in commodity markets and online calibration: Vinicius Albani, Uri M. Ascher and Jorge P Zubelli
Local variance gamma revisited: Markus Falck and Mikhail Deryabin
A new nonlinear partial differential equation in finance and a method of its solution: Andrey Itkin
Investment opportunities forecasting: a genetic programming-based dynamic portfolio trading system under a directional-change framework: Monira Essa Aloud
Efficient pricing and super-replication of corridor variance swaps and related products: Christoph Burgard and Olaf TornÃ©
Error analysis in Fourier methods for option pricing: FabiÃ¡n Crocce, Juho HÃ¤ppÃ¶lÃ¤, Jonas Kiessling and Raul Tempone
Calibration of local correlation models to basket smiles: Julien Guyon
An efficient convergent lattice method for Asian option pricing with superlinear complexity: Ling Lu, Wei Xu and Zhehui Qian
Valuation of barrier options using sequential Monte Carlo: Pavel V Shevchenko and Pierre Del Moral
A reduced basis method for parabolic partial differential equations with parameter functions and application to option pricing: Antonia Mayerhofer and Karsten Urban
The probability of backtest overfitting: David H. Bailey, Jonathan M. Borwein, Marcos LÃ³pez de Prado and Qiji Jim Zhu
Efficient estimation of sensitivities for counterparty credit risk with the finite difference Monte Carlo method: Cornelis S. L. de Graaf, Drona Kandhai and Peter M. A. Sloot
The forward smile in localâ€“stochastic volatility models: Andrea Pascucci and Andrea Mazzon
Finite difference techniques for arbitrage-free SABR: Fabien Le Flocâ€™h and Gary Kennedy
A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Hestonâ€“Coxâ€“Ingersollâ€“Ross model: Andrei Cozma and Christoph Reisinger
Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach: M. C. Calvo-Garrido, M. Ehrhardt and C. VÃ¡zquez
Numerical solution of the Hamiltonâ€“Jacobiâ€“Bellman formulation for continuous-time meanâ€“variance asset allocation under stochastic volatility: K Ma and P. A. Forsyth
High-performance American option pricing: Leif Andersen, Mark Lake and Dimitri Offengenden
Adjusting exponential LÃ©vy models toward the simultaneous calibration of market prices for crash cliquets: Peter Carr and Ajay Khanna and Dilip B. Madan
An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model: Dan Zhu and Mark S. Joshi
Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions: Cornelis W. Oosterlee, Qian Feng, Shashi Jain, Patrik Karlsson and Drona Kandhai
From arbitrage to arbitrage-free implied volatilities: Cornelis W. Oosterlee and Lech A. Grzelak
Faster comparison of stopping times by nested conditional Monte Carlo: Fabian Dickmann and Nikolaus Schweizer
Transform-based evaluation of prices and Greeks of lookback options driven by LÃ©vy processes: Naser M. Asghari and Michel Mandjes
Valuation of options on discretely sampled variance: a general analytic approximation: Gabriel Drimus, Walter Farkas and Elise Gourier
Wiener chaos expansion and numerical solutions of the Heathâ€“Jarrowâ€“Morton interest rate model: Nikolaos Thomaidis, Evangelia A. Kalpinelli and Athanasios N. Yannacopoulos
Accelerated trinomial trees applied to American basket options and American options under the Bates model: Conall Oâ€™Sullivan and Stephen Oâ€™Sullivan
A new improvement scheme for approximation methods of probability density functions: Akihiko Takahashi and Yukihiro Tsuzuki
Stratified approximations for the pricing of options on average: Nicolas Privault and Jiadong Yu
Efficient solution of backward jump-diffusion partial integro-differential equations with splitting and matrix exponentials: Andrey Itkin
B-spline techniques for volatility modeling: Sylvain Corlay
The efficient application of automatic differentiation for computing gradients in financial applications: Wei Xu, Xi Chen and Thomas F. Coleman
Updating the option implied probability of default methodology: Johannes Vilsmeier
Importance sampling for jump processes and applications to finance: Laetitia Badouraly Kassim, JÃ©rÃ´me Lelong and Imane Loumrhari
SLADI: a semi-Lagrangian alternating-direction implicit method for the numerical solution of advectionâ€“diffusion problems with application to electricity storage valuations: Javier HernÃ¡ndez Ã Valos, Paul V. Johnson and Peter W. Duck
Numerical methods for the quadratic hedging problem in Markov models with jumps: Carmine De Franco, Peter Tankov and Xavier Warin
Optimal investment: bounds and heuristics: L. C. G. Rogers and P. Zaczkowski
A robust set-valued scenario approach for handling modeling risk in portfolio optimization: Shushang Zhu and Xiaodong Ji and Duan Li
On the application of spectral filters in a Fourier option pricing technique: M. J. Ruijter and M. Versteegh and C.W. Oosterlee
A novel Fourier transform B-spline method for option pricing: Gareth G. Haslip and Vladimir K. Kaishev
A simple approximation for the no-arbitrage drifts in Libor market modelâ€“SABR-family interest-rate models: Riccardo Rebonato
Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions: Christoph Reisinger and Rasmus Wissmann
A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models: Radha Krishn Coonjobeharry and DÃ©sirÃ© Yannick Tangman and Muddun Bhuruth
An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivatives: Duy-Minh Dang, Christina C. Christara and Kenneth R. Jackson and Asif Lakhany
The damped Crankâ€“Nicolson time-marching scheme for the adaptive solution of the Blackâ€“Scholes equation: Christian Goll and Rolf Rannacher and Winnifried Wollner
Corrigendum: Ralf Korn and Qian Liang
Multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model: Leslie Ng
The density of distributions from the Bondesson class: German Bernhart, Jan-Frederik Mai and Steffen Schenk and Matthias Scherer
An efficient Monte Carlo method for discrete variance contracts: Nicolas Merener and Leonardo Vicchi
A chaos expansion approach for the pricing of contingent claims: Hideharu Funahashi and Masaaki Kijima
Option calibration of exponential LÃ©vy models: confidence intervals and empirical results: Jakob SÃ¶hl and Mathias Trabs
Application of the improved fast Gauss transform to option pricing under jump-diffusion processes: Takayuki Sakuma and Yuji Yamada
Efficient variations of the Fourier transform in applications to option pricing: Svetlana Boyarchenko and Sergei LevendorskiË˜Ä±
Fourier transform algorithms for pricing and hedging discretely sampled exotic variance products and volatility derivatives under additive processes: Wendong Zheng and Yue Kuen Kwok
Pricing American-style options by Monte Carlo simulation: alternatives to ordinary least squares: Stathis Tompaidis and ChunyuYang
Value function approximation or stopping time approximation: a comparison of two recent numerical methods for American option pricing using simulation and regression: Lars Stentoft
Counterparty credit risk pricing and measurement of swaption portfolios: Matt Thompson
Numerical algorithms for research and development stochastic control models: Chi Man Leung and Yue Kuen Kwok
Optimizing the Omega ratio using linear programming: Michalis Kapsos, Steve Zymler and Nicos Christofides and BerÃ§ Rustem
Adjoint algorithmic differentiation: calibration and implicit function theorem: Marc Henrard
Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation: Luis Ortiz-Gracia and Josep J. Masdemont
Robust calibration of financial models using Bayesian estimators: Alok Gupta and Christoph Reisinger
Quadratic finite element and preconditioning methods for options pricing in the SVCJ model: Ying-Ying Zhang, Hong-Kui Pang and Liming Feng and Xiao-Qing Jin
Monte Carlo pricing in the SchÃ¶belâ€“Zhu model and its extensions: Alexander van Haastrecht and Roger Lord and Antoon Pelsser
TR-BDF2 for fast stable American option pricing: Fabien Le Flocâ€™h
Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model: Ralf Korn and Qian Liang
Exact simulation pricing with Gamma processes and their extensions: Lancelot F. James and Dohyun Kim and Zhiyuan Zhang
Varianceâ€“optimal hedging for discrete-time processes with independent increments: application to electricity markets: Stéphane Goutte and Nadia Oudjane and Francesco Russo
High-order discretization schemes for stochastic volatility models: Benjamin Jourdain and Mohamed Sbai
An n-dimensional Markov-functional interest rate model: Linus Kaisajuntti and Joanne Kennedy
The evaluation of American compound option prices under stochastic volatility and stochastic interest rates: Carl Chiarella and Boda Kang
A Monte Carlo pricing algorithm for autocallables that allows for stable differentiation: Thomas Alm, Bastian Harrach and Daphne Harrach and Marco Keller
A multifactor bottom-up model for pricing credit derivatives: Lung Kwan Tsui
Tracking value-at-risk through derivative prices: Simon I. Hill
Optimal execution under jump models for uncertain price impact: Somayeh Moazeni and Thomas F. Coleman and Yuying Li
An efficient pricing algorithm for swing options based on Fourier cosine expansions: B. Zhang and C. W. Oosterlee
An application to credit risk of a hybrid Monte Carloâ€“optimal quantization method: Giorgia Callegaro and Abass Sagna
Fast and accurate long-stepping simulation of the Heston stochastic volatility model: Jiun Hong Chan and Mark Joshi
Pricing high-dimensional Bermudan options using variance-reduced Monte Carlo methods: Peter Hepperger
Pricing synthetic collateralized debt obligations based on exponential approximations to the payoff function: Ian Iscoe, Ken Jackson and Alex Kreinin and Xiofang Ma
Numerical methods for an optimal order execution problem: Fabien Guilbaud and Mohamed Mnif and Huyen Pham
Dual quantization for random walks with application to credit derivatives: Gilles PagÃ¨s and Benedikt Wilbertz
Pricing options on realized variance in the Heston model with jumps in returns and volatility Part II. An approximate distribution of discrete variance: Artur Sepp
A variance reduction technique using a quantized Brownian motion as a control variate: Antoine Lejay and Victor Reutenauer
Estimating multiple option Greeks simultaneously using random parameter regression: Haifeng Fu, Xing Jin and Guangming Pan and Yanrong Yang
Pricing pension plans based on average salary without early retirement: partial differential equation modeling and numerical solution: Maria del Carmen Calvo-Garrido and Carlos Vazquez
Alternating direction implicit finite difference schemes for the Heston-Hull-White partial differential equation: Tinne Haentjens and Karel J. In 't Hout
Transform analysis and asset pricing for diffusion processes: a recursvie approach: Marc Goovaerts and Roger J. A. Laeven and Zhaoning Shang
Proper orthogonal decomposition for pricing options: Olivier Pironneau
Applications of periodic and quasiperiodic decompositions to options pricing: Dominique Bang
Sato two-factor models for multivariate option pricing: Florence Guillaume
Numerical valuation of basket credit derivatives in structural jump-diffusion models: Karolina Bujok and Christoph Reisinger
Calibration and Monte Carlo pricing of the SABRâ€“Hullâ€“White model for long-maturity equity derivatives: Bin Chen and Lech A. Grzelak and Cornelis W. Oosterlee
An equityâ€“interest rate hybrid model with stochastic volatility and the interest rate smile: Lech A. Grzelak and Cornelis W. Oosterlee
Efficient and accurate log-LÃ©vy approximations of LÃ©vy-driven LIBOR models: Antonis Papapantoleon and John Schoenmakers and David Skovmand
Pricing credit derivatives using an asymptotic expansion approach: Yoshifumi Muroi
Fast pricing and calculation of sensitivities of out-of-the-money European options under LÃ©vy processes: Sergei Levendorskii and Jiayao Xie
A bias-reduction technique for Monte Carlo pricing of early-exercise options: Tyson Whitehead and R. Mark Reesor and Matt Davison
No-arbitrage SABR: Paul Doust
A Newton method for American option pricing: Thomas F. Coleman and Yuying Li and Arun Verma
The equity option volatility smile: an implicit finite-difference approach: Leif B. G. Andersen and Rupert Brotherton-Ratcliffe
Option pricing using the fractional FFT: Kyriakos Chourdakis
A mathematical programming with equilibrium constraints approach to the implied volatility surface of American options: Jacqueline Huang and Jong-Shi Pang
Calibration and implementation of convertible bond models: Leif Andersen and Dan Buffum
Computation of deterministic volatility surfaces: Nicolas Jackson and Endre SÃ¼li and Sam Howison
Nonparametric estimation of an implied volatility surface: James N. Bodurtha, Jr. and Martin Jermakyan
The link between caplet and swaption volatilities in a Braceâ€“Gatarekâ€“Musiela/Jamshidian framework: approximate solutions and empirical evidence: Peter JÃ¤ckel and Riccardo Rebonato
Deriving derivatives of derivative securities: Peter Carr
Structuring, pricing and hedging double-barrier step options: Dmitry Davydov and Vadim Linetsky
Finite sample properties of EMM, GMM, QMLE and MLE for a square-root interest rate diffusion model: Hao Zhou
Non-parametric calibration of jumpâ€“diffusion option pricing models: Rama Cont and Peter Tankov
Optimal importance sampling in securities pricing: Yi Su and Michael C. Fu
Valuing moving barrier options: L. C. G. Rogers and O. Zane
A new integral representation of the early exercise boundary for American put options: Thomas Little and Vijay Pant and Chunli Hou
A non-Gaussian stochastic volatility model: Yuichi Nagahara and Genshiro Kitagawa
Numerical inversion of Laplace transforms: a survey of techniques with applications to derivative pricing: Mark Craddock, David Heath and and Edward Platen
Efficient option pricing with transaction costs: Michael Monoyios
Analytical and Monte Carlo swaption pricing under the forward swap measure: Atsushi Kawai
LP valuation of exotic American options exploiting structure: M. A. H. Dempster, J. P. Hutton and D. G. Richards
Numerical analysis of Monte Carlo evaluation of Greeks by finite differences: Grigori N. Milstein and Michael V. Tretyakov
Valuing path-dependent options in the variance-gamma model by Monte Carlo with a gamma bridge: Claudia Ribeiro and Nick Webber
Path-dependent option pricing: the path integral partial averaging method: Andrew Matacz
Computing deltas of callable Libor exotics in forward Libor models: Vladimir V. Piterbarg
Convergence of the stochastic mesh estimator for pricing Bermudan options: Athanassios N. Avramidis and Heinrich Matzinger
Reconstructing the unknown local volatility function: Thomas F. Coleman and Yuying Li and Arun Verma
Various types of double-barrier options: Lawrence S. J. Luo
The Brownian bridge E-M algorithm for covariance estimation with missing data: William Morokoff
Pricing Asian and basket options via Taylor expansion: Nengjiu Ju
Comment on: "Computation of deterministic volatility surfaces", by N. Jackson, E. SÃ¼li, and S. Howison, Vol. 2(2) (Winter, 1998/99), pp. 5-32: Mark Rubinstein
Hopscotch methods for two-state financial models: Adam Kurpiel and Thierry Roncalli
Evaluation of compound options using perturbation approximation: Jean-Pierre Fouque and Chuan-Hsiang Han
On the pricing implications of the joint lognormal assumption for the swaption and cap markets: Riccardo Rebonato
Pricing of interest rate contingent claims: implementing a simulation approach: Kristian R. Miltersen
Recovering volatility from option prices by evolutionary optimization: Sana Ben Hamida and Rama Cont
Robust numerical methods for PDE models of Asian options: R. Zvan, P. A. Forsyth and K. R. Vetzal
A remark on the pricing of discrete lookback options: Anders Ã–hgren
An exit-probability-based approach for the valuation of defaultable securities: Lucia Caramellino and Maria Gabriella Iovino
Krylov subspace reduction and its extensions for option pricing: Vladimir Druskin and Leonid Knizhnerman, Tanya Tamarchenko and Sergio Kostek
Convergence of Monte Carlo simulations involving the mean-reverting square root process: Desmond J. Higham and Xuerong Mao
The GARCH option pricing model: a lattice approach: Nusret Cakici and Kudret Topyan
Penalty and front-fixing methods for the numerical solution of American option problems: BjÃ¸rn Fredrik Nielsen and Ola Skavhaug and Aslak Tveito
Option pricing and linear complementarity: Jacqueline Huang and Jong-Shi Pang
Pricing moving average barrier options: J. P. Heritage
The singularity-separating method for two-factor convertible bonds: You-lan Zhu and Yingjun Sun
Option pricing by transform methods: extensions, unification and error control: Roger W. Lee
The pricing of discretely sampled Asian and lookback options: a change of numeraire approach: Jesper Andreasen
Double barrier options: valuation by path counting: Jakob Sidenius
Competitive Monte Carlo methods for the pricing of Asian options: B. Lapeyre and E. Temam
A new algorithm for constructing implied binomial trees: does the implied model fit any volatility smile?: Yanmin Li
A stochastic mesh method for pricing high-dimensional American options: Mark Broadie and Paul Glasserman
A generalized multinomial method for option pricing in several dimensions: Thomas Gustafsson and Houari Merabet
How to solve multiasset Black-Scholes with time-dependent volatility and correlation: L. P. Bos and A. F. Ware
Arbitrage-free estimation of the risk-neutral density from the implied volatility smile: Bernhard Brunner and Reinhold Hafner
Risk-sensitive portfolio optimization with transaction costs: Tomasz R. Bielecki, Jean-Philippe Chancelier, Stanley R. Pliska and AgnÃ¨s Sulem
Sparse wavelet methods for option pricing under stochastic volatility: Norbert Hilber, Ana-Maria Matache and Christoph Schwab
Pricing of Occupation Time Derivatives: Continuous and Discrete Monitoring: Gianluca Fusai and Aldo Tagliani
Short time-scale in S&P500 volatility: Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar and Knut Solna
Convergence remedies for non-smooth payoffs in option pricing: David M. Pooley, Kenneth R.Vetzal and Peter A. Forsyth
Pricing American options: a comparison of Monte Carlo simulation approaches: Michael C. Fu, Scott B. Laprise, Dilip B. Madan, Yi Su and and Rongwen Wu
Valuation of mortgage-backed securities using Brownian bridges to reduce effective dimension: Russel E. Caflisch, William Morokoff and Art Owen
Fast greeks by simulation in forward LIBOR models: Paul Glasserman and Xiaoliang Zhao
On the simultaneous calibration of multifactor lognormal interest rate models to Black volatilities and to the correlation matrix: Riccardo Rebonato
Fast and accurate analytical approximation of bond prices when short interest rates are lognormal: AsbjÃ¸rn Trolle Hansen and Peter LÃ¸chte JÃ¸rgensen
Pricing in three-factor models using icosahedral lattices: Lynda A. McCarthy and Nick J. Webber
Fast and accurate valuation of American barrier options: Farid AitSahlia, Lorens Imhof and Tze Leung Lai
A PDE method for computing moments: Thomas Little and Vijay Pant
Pricing and hedging callable Libor exotics in forward Libor models: Vladimir V. Piterbarg
LIBOR market models in practice: Jakob Sidenius
Cap and swaption approximations in Libor market models with jumps: Paul Glasserman and Nicolas Merener
A Bayesian approach for constructing implied volatility surfaces through neural networks: M. Avellaneda, A. Carelli and F. Stella
Pricing discretely monitored barrier options: Michael A. Sullivan
The reduction of forward rate dependent volatility HJM models to Markovian form: pricing European bond options: Ramaprasad Bhar, Carl Chiarella, Nadima El-Hassan and and Xiaosu Zheng
Fast Fourier transform for discrete Asian options: Eric Benhamou
Fast solutions of complementarity formulations in American put pricing: Artan Borici and Hans-Jakob LÃ¼thi
A parity result for American options: Robert L. McDonald and Mark D. Schroder
Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods: Michael C. Fu and Dilip B. Madan and Tong Wang
Using program synthesis to price derivatives: Curt Randall, Elaine Kant and Ashvin Chhabra
Risk-management methods for the Libor market model using semidefinite programming: Alexandre dâ€™Aspremont
Asset price distributions inferred from linear inverse theory: Peter W. Buchen and Michael F. Kelly
Accurate approximations for European-style Asian options: Prasad Chalasani and Somesh Jha and Ashok Varikooty
Option valuation using the fast Fourier transform: Peter Carr and Dilip B. Madan
Fast at-the-money calibration of the Libor market model using Lagrange multipliers: Lixin Wu
Numerical investigation of early exercise in American puts with discrete dividends: Gunter H. Meyer
A technique for calibrating derivative security pricing models: numerical solution of an inverse problem: Ronald Lagnado and Stanley Osher
A nonexploding bushy tree technique and its application to the multifactor interest rate market model: Y. Tang and J. Lange
Time transformations, intraday data, and volatility models: Pierre Giot
A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model: Leif Andersen
A canonical optimal stopping problem for American options and its numerical solution: Farid AitSahlia and Tze Leung Lai
Accelerating Monte Carlo: quasirandom sequences and variance reduction: Leonard Berman
Optimal portfolio series formula under dynamic appreciation rate uncertainty: Srdjan D. Stojanovic
Control variates for Monte Carlo valuation of American options: Nicki SÃ¸ndergaard Rasmussen
Analysis of the stability of the linear boundary condition for the Blackâ€“Scholes equation: Heath Windcliff, Peter A. Forsyth and Ken R.Vetzal
Control of credit risk collateralization using quasi-variational inequalities: Felipe M. Aparicio and Didier Cossin
Approximating American options and other financial contracts using barrier derivatives: Jonathan E. Ingersoll and Jr.
An analytical approximation for the GARCH option pricing model: Jin-Chuan Duan, GeneviÃ¨ve Gauthier and Jean-Guy Simonato
Efficient pricing of Asian options by the PDE approach: FranÃ§ois Dubois and Tony LeliÃ¨vre
Semi-analytical pricing of defaultable bonds in a signaling jump-default model: Lara Cathcart and Lina El-Jahel
A finite-difference method for the valuation of variance swaps: Thomas Little and Vijay Pant
Pricing American options under variance gamma: Ali Hirsa and Dilip B. Madan
American option pricing and exercising with transaction costs: Valeri I. Zakamouline
A tree implementation of a credit spread model for credit derivatives: Philipp J. SchÃ¶nbucher
Pricing and hedging more general double-barrier options: Adam W. Kolkiewicz
Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling: Pavel V. Shevchenko
Discrete Asian barrier options: R. Zvan and P. A. Forsyth and K. R. Vetzal
Fast drift-approximated pricing in the BGM model: Raoul Pietersz, Antoon Pelsser and Marcel van Regenmortel
Exercise boundaries and efficient approximations to American option prices and hedge parameters: Farid AitSahlia and Tze Leung Lai
Robbinsâ€“Monro algorithms and variance reduction in finance: Bouhari Arouna
An investigation of cheapest-to-deliver on Treasury bond futures contracts: Simon Benninga and Zvi Wiener
Technical note: Lognormal swap approximation in the Libor market model and its application: Koichi Matsumoto
The pricing of floating rate instruments: Lara Cathcart
A series expansion for the bivariate normal integral: Oldrich Alfons Vasicek
Speed and accuracy comparison of bivariate normal distribution approximations for option pricing: Senay Agca and Don M. Chance
Computing hitting time densities for CIR and OU diffusions: applications to mean-reverting models: Vadim Linetsky
The modified willow tree algorithm: Ulrich G. Haussmann and Liqing Yan
Pricing Asian options via Fourier and Laplace transforms: Gianluca Fusai
Analytic derivatives of asymmetric Garch models: George F. Levy
Finite sample comparison of alternative estimators of ItÃ´ diffusion processes: a Monte Carlo study: George J. Jiang and John L. Knight
Risk-neutralized at-the-money consistent historical distributions in currency options pricing: Nusret Cakici and Kevin R. Foster
Pricing near the barrier: the case of discrete knock-out options: Manfred Steiner and Martin Wallmeier and Reinhold Hafner
The pricing of multi-asset options using a Fourier grid method: Bernard Engelmann and Peter Schwendner
Numerical pricing of discrete barrier and lookback options via Laplace transforms: Giovanni Petrella and Steven Kou
A new PDE approach for pricing arithmetic average Asian options: Jan Vecer
Performance of Dupire's implied diffusion approach under sparse and incomplete data: Michael L. McIntyre
The passport option: Leif Andersen, Jesper Andreasen and and Rupert Brotherton-Ratcliffe
Negative coefficients in two-factor option pricing models: R. Zvan, P. A. Forsyth and K. R.Vetzal
A closed-form solution for perpetual American floating strike lookback options: Min Dai
Extended Libor market models with stochastic volatility: Leif Andersen and Rupert Brotherton-Ratcliffe
On the valuation of double-barrier options: computational aspects: Michael SchrÃ¶ der
Volatility estimation with functional gradient descent for very high-dimensional financial time series: Francesco Audrino and Peter BÃ¼hlmann
American options and the LSM algorithm: quasi-random sequences and Brownian bridges: Suneal K. Chaudhary
An application of natural resource evaluation using a simulation-dynamic programming approach: Augusto Castillo-RamirÃ©
Simple, fast and flexible pricing of Asian options: Timothy R. Klassen
Fast valuation of financial derivatives: J. G. M. Schoenmakers and A. W. Heemink
Static replication of barrier options: some general results: Leif B. G. Andersen, Jesper Andreasen and David Eliezer
A semi-analytical method for pricing and hedging continuously sampled arithmetic average rate options: Jin E. Zhang
Lognormal approximations to Libor market models: O. Kurbanmuradov, K. Sabelfeld and J. Schoenmakers
A behavioural finance-based tick-by-tick model for price and volume: Garud Iyengar and Alfred Ka Chun Ma
Fast simplified approaches to Asian option pricing: D.Y. Tangman, A. A. I. Peer, N. Rambeerich and M. Bhuruth
Proxy simulation schemes for generic robust Monte Carlo sensitivities, process-oriented importance sampling and high-accuracy drift approximation: Christian P. Fries and JÃ¶rg Kampen
A swaption volatility model using Markov regime switching: Richard White and Riccardo Rebonato
Cost-optimal static super-replication of barrier options: an optimization approach: Alexander Giese and Jan Maruhn
Approximating the GJR-GARCH and EGARCH option pricing models analytically: Jin-Chuan Duan, GeneviÃ¨ve Gauthier, Jean-Guy Simonato and Caroline Sasseville
Fast and accurate Greeks for the LIBOR Market Model: Nick Denson and Mark Joshi
A general dimension reduction technique for derivative pricing: Junichi Imai and Ken Seng Tan
Potential Future Exposure Calculations of Multi-Asset Exotic Products using the Stochastic Mesh Method: Leslie Ng, Dave Peterson and Andres Eulogio Rodriguez
BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives: Matthias Arnsdorf and Igor Halperin
Computing tails of compound distributions using direct numerical integration: Xiaolin Luo and Pavel V. Shevchenko
Measuring marginal risk contributions in credit portfolios: Paul Glasserman
Saddlepoint approximation method for pricing CDOs: Jingping Yang, T. R. Hurd and Xuping Zhang
Failure discrimination by semi-definite programming using a maximal margin ellipsoidal surface: Yohei Okada and Hiroshi Konno
Pricing equity default swaps under an approximation to the CGMY Levy model: SÃ¸ren Asmussen, Dilip Madan and Martijn Pistorius
Histogram models for robust portfolio optimization: Daniel Bienstock
Calibration of local volatility using the local and implied instantaneous variance: Gabriel Turinici
Dynamic mean-variance portfolio analysis under model risk: Daniel Kuhn, Panos Parpas, BerÃ§ Rustem and Raquel Fonseca
An empirical comparative analysis of foreign exchange smile calibration procedures: Dimitri Reiswich
Adaptive and high-order methods for valuing American options: Christina C. Christara and Duy Minh Dang
A multilevel approach to control variates: Adam Speight
Barrier option pricing for assets with Markov-modulated dividends: Giuseppe Di Graziano and L. C. G. Rogers
Pricing options on realized variance in the Heston model with jumps in returns and volatility: Artur Sepp
Finite element valuation of swing options: Martina Wilhelm and Christoph Winter
Markovian projection onto a Heston model: Alexandre Antonov, Timur Misirpashaev and Vladimir Piterbarg
Calibrating volatility function bounds for an uncertain volatility model: Thomas F. Coleman, Changhong He and Yuying Li
On stiffness in affine asset pricing models: Shirley J. Huang and Jun Yu
Pricing guaranteed return rate products and discretely sampled Asian options: Peter den Iseger and Emoke Oldenkamp
Robust active portfolio management: Emre Erdogan, Donald G. Goldfarb and Garud Iyenga
Penalty methods for continuous-time portfolio selection with proportional transaction costs: Min Dai and Yifei Zhong
Partially exact and bounded approximations for arithmetic Asian options: Roger Lord
Robust numerical valuation of European and American options under the CGMY process: Iris R. Wang, Justin W. L. Wan and Peter A. Forsyth
Higher-order saddlepoint approximations in the Vasicek portfolio credit loss model: Xinzheng Huang, Cornelis W. Oosterlee and Hans van der Weide
Wavelet-based bootstrap for pricing path-dependent European options: Huaguang Feng, Aparna Gupta and Thomas R. Willemain
An adaptive procedure for estimating coherent risk measures based on generalized scenarios: Vadim Lesnevski, Barry L. Nelson and Jeremy Staum
Adaptive control variates for pricing multi-dimensional American options: Samuel M. T. Ehrlichman and Shane G. Henderson
Pricing barrier and average options in a stochastic volatility environment: Kenichiro Shiraya, Akihiko Takahashi and Masashi Toda
A high-order front-tracking finite difference method for pricing American options under jump-diffusion models: Jari Toivanen
Pricing timer options: Carole Bernard and Zhenyu Cui
The relative efficiency of numerical methods for pricing American options under LÃ©vy processes: Sergei LevendorskiˇÃµ, Oleg Kudryavtsev and Vadim Zherder
Multi-asset option pricing using a parallel Fourier-based technique: C. C. W. Leentvaar and C. W. Oosterlee
Measuring the error of dynamic hedging: a Laplace transform approach: Flavio Angelini and Stefano Herzel
Fast Greeks by algorithmic differentiation: Luca Capriotti
A tree-based method to price American options in the Heston model: Michel Vellekoop and Hans Nieuwenhuis
Fourier space time-stepping for option pricing with LÃ©vy models: Kenneth R. Jackson, Sebastian Jaimungal and Vladimir Surkov
An almost exact simulation method for the Heston model: Robert D. Smith
Pricing and hedging American-style options: a simple simulation-based approach: Yang Wang and Russel Caflisch
The condition of the integral representation of American Options: Pascal Heider
Numerical estimation of volatility values from discretely observed diffusion data: JakÅ¡a Cvitanic, Boris Rozovskii and Ilya Zaliapin
The singular points binominal method for pricing American path-dependent options: Marcellino Gaudenzi, Antonino Zanette and Maria Antonietta Lepellere
Portfolio selection with marginal risk control: Shushang Zhu, Duan Li and Xiaoling Sun
Sampling Student's T distribution â€“ use of the inverse cumulative distribution function: William T. Shaw
Credit migration and basket derivatives pricing with copulas: Tony Berrada, Debbie Dupuis, Eric Jacquier, Nicolas Papageorgiou and Bruno RÃ©millard
Generalized control variate methods for pricing Asian options: Chuan-Hsiang Han and Yongzeng Lai
Recursive valuation of Basket Default Swaps: Ian Iscoe and Alex Kreinin
Eurodollar futures convexity adjustments in stochastic volatility models: Vladimir V. Piterbarg and Marco A. Renedo
Computational techniques for basic affine models of portfolio credit risk: Andreas Eckner
Using Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options: Mark S. Joshi and Terence S. Leung
Uncertain Volatility Model: A Monte-Carlo Approach: Julien Guyon and Pierre Henry-LabordÃ¨re
Pricing of spread options on stochastically correlated underlyings: Marcos Escobar Anel, Barbara GÃ¶tz, Luis Seco and Rudi Zagst
Optimal portfolio management in mar taxation: Cristin Buescu and Michael Taksar
Strange facts about the marginal distributions of processes based on the Ornstein-Uhlenbeck process: Ray Brownrigg and Estate Khmaladze
Gaussian and Poisson approximation: applications to CDOs tranche pricing: Nicole El Karoui, Ying Jiao and David Kurtz
Robust optimization of currency portfolios: Raquel J. Fonseca, Steve Zymler, Wolfram Wiesemann and BerÃ§ Rustem
Simple and efficient simulation of the Heston stochastic volatility model: Leif Andersen
Fast Valuation and Calibration of Credit Default Swaps Under Levy Dynamics: Fang Fang, Henrik JÃ¶nsson, Cornelis W. Oosterlee and Wim Schoutens
Correlation matrix with block structure and efficient sampling methods: Jinggang Huang and Liming Yang
Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance: Peter A. Forsyth and George Labahn
Minimal partial proxy simulation schemes for generic and robust Monte Carlo Greeks: Jiun Hong Chan and Mark Joshi
Unbiased Monte Carlo valuation of lookback, swing and barrier options with continuous monitoring under variance gamma models: Martin Becker
Discrete extrema of Brownian motion and pricing of exotic options: Colin Atkinson and Gianluca Fusai
Efficient Pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model: RÃ¼diger Kiesel and Matthias Lutz
Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm: Johannes Ruf and Matthias Scherer
The decoupling approach to binomial pricing of multi-asset options: Ralf Korn and Stefanie MÃ¼ller
Pricing and hedging gap risk: Peter Tankov
A simple discretization scheme for nonnegative diffusion processes with applications to option pricing: Chantal LabbÃ©, Bruno RÃ©millard and Jean-FranÃ§ois Renaud
Latin hypercube sampling with dependence and applications in finance: Natalie Packham and Wolfgang M. Schmidt
Partial proxy simulation schemes for generic and robust Monte Carlo Greeks: Christian P. Fries and Mark S. Joshi
Pricing kth-to-default swaps under default contagion: the matrix analytic approach: Alexander Herbertsson and Holger RootzÃ©n
Variance reduction techniques for pricing American options using function approximations: Sandeep Juneja and Himanshu Kalra
Pricing Energy Derivatives by Linear Programming: Tolling Agreement Contracts: Valeriy Ryabchenko and Stan Uryasev
Linking caplets and swaptions prices in the LMM-SABR model: Riccardo Rebonato and Richard White
Convergence analysis of Crankâ€“Nicolson and Rannacher time-marching: Michael B. Giles and Rebecca Carter
PDE methods for maximum drawdown: Libor Pospisil and Jan Vecer
Numerical techniques for the valuation of basket options and their Greeks: Corinna Hager, Stefan HÃ¼eber and Barbara I. Wohlmuth
Highly accurate evaluation of European and American options under the Variance Gamma process: Ariel Almendral and CornelisW. Oosterlee
Efficient calculation of expected shortfall contributions in large credit portfolios: Michael Kalkbrener, Anna Kennedy and Monika Popp
Optimal Fourier inversion in semi-analytical option pricing: Roger Lord and Christian Kahl
Modeling correlated defaults: first passage model under stochastic volatility: Jean-Pierre Fouque, Brian C. Wignall and Xianwen Zhou
Saddlepoint methods for option pricing: Peter Carr and Dilip B. Madan
The influence of correlation on multi-asset portfolio optimization with transaction costs: Colin Atkinson and Pongsathorn Ingpochai
Life-cycle asset allocation and consumption using stochastic linear programming: Alois Geyer, Michael Hanke and Alex Weissensteiner

Journal of Computational Finance

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