Sfoglia per Autore
A robust tree method for pricing American options with the Cox-Ingersoll-Ross interest rate model.
2015-01-01 E., Appolloni; L., Caramellino; Zanette, Antonino
Efficient pricing of Swing options in Lévy-driven models
2016-01-01 Kudryavtsev, Oleg; Zanette, Antonino
Variable Annuities: the new solution to long-term investment problem
2016-01-01 Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino
Pricing and Hedging GLWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models
2016-01-01 Goudenge, Ludovic; Molent, Andrea; Zanette, Antonino
A hybrid approach for the implementation of the Heston model
2017-01-01 Briani, M; Caramellino, L; Zanette, Antonino
Fast binomial procedures for pricing Parisian/ParAsian options
2017-01-01 Gaudenzi, Marcellino; Zanette, Antonino
A hybrid tree/finite-difference approach for Heston-Hull-White type models
2017-01-01 Briani, Maya; Caramellino, Lucia; Zanette, Antonino
Fourier-Cosine Method for Pricing and Hedging Insurance Derivatives
2018-01-01 Goudenège, Ludovic; Molent, Andrea; Wei, Xiao; Zanette, Antonino
Pricing and Hedging GMWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models
2019-01-01 Ludovic, Goudenege; Molent, Andrea; Zanette, Antonino
Numerical stability of a hybrid method for pricing options.
2019-01-01 Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; Zanette, Antonino
Computing credit valuation adjustment solving coupled PIDEs in the Bates model
2020-01-01 Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino
Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
2020-01-01 Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino
Variance Reduction Applied to Machine Learning for Pricing Bermudan/American Options in High Dimension
2021-01-01 Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino
Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate.
2021-01-01 Goudenge, Ludovic; Molent, Andrea; Zanette, Antonino
Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem
2022-01-01 Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino
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