:: Library Catalog

Copertina

Salvato in:

Dettagli Bibliografici
Autori principali:	Leung, Tim, Lu, Kevin W.
Natura:	Preprint
Pubblicazione:	2023
Soggetti:	Computational Finance 91G60, 65C05 (Primary) 60G51, 60G10, 62P05 (Secondary)
Accesso online:	https://arxiv.org/abs/2309.05512
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Comparative Evaluation of VaR Models: Historical Simulation, GARCH-Based Monte Carlo, and Filtered Historical Simulation
di: Tian, Xin
Pubblicazione: (2025)

Optimized Multi-Level Monte Carlo Parametrization and Antithetic Sampling for Nested Simulations
di: Boumezoued, Alexandre, et al.
Pubblicazione: (2025)

Functional CLTs for subordinated Lévy models in physics, finance, and econometrics
di: Søjmark, Andreas, et al.
Pubblicazione: (2023)

Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities
di: Bayer, Christian, et al.
Pubblicazione: (2020)

Calibration Bands for Mean Estimates within the Exponential Dispersion Family
di: Delong, Łukasz, et al.
Pubblicazione: (2025)

Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
di: Bourgey, Florian, et al.
Pubblicazione: (2021)

Complexity of exact sampling of the first passage of a stable subordinator
di: Chi, Zhiyi
Pubblicazione: (2025)

A unified theory of order flow, market impact, and volatility
di: Muhle-Karbe, Johannes, et al.
Pubblicazione: (2026)

A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction
di: Pra, Paolo Dai, et al.
Pubblicazione: (2025)

Sample path behaviors of Lévy processes conditioned to avoid zero
di: Takeda, Shosei
Pubblicazione: (2022)

Modelling Volatility of Spatio-temporal Integer-valued Data with Network Structure and Asymmetry
di: Pan, Yue, et al.
Pubblicazione: (2024)

On the dependence between a Wiener process and its running maxima and running minima processes
di: Dąbrowski, Karol, et al.
Pubblicazione: (2021)

Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options
di: Yang, Jiefei, et al.
Pubblicazione: (2024)

Asymptotics of survival probabilities and lower tail probability problem
di: Boyarchenko, Svetlana, et al.
Pubblicazione: (2025)

Nonparametric Bayesian Calibration of Computer Models
di: Shi, Haiyi, et al.
Pubblicazione: (2025)

Curved Greeks: A Geometric Layer for Option P&L Adjustments
di: Velasco, Pedro Pablo Pérez, et al.
Pubblicazione: (2026)

Supremum penalizations for Lévy processes
di: Takeda, Shosei
Pubblicazione: (2025)

The Mean Field Market Model Revisited
di: Hasenbichler, Manuel, et al.
Pubblicazione: (2023)

Fast exact simulation of the first passage of a tempered stable subordinator across a non-increasing function
di: Cázares, Jorge Ignacio González, et al.
Pubblicazione: (2023)

Beyond Picking Winners: Correlation-Driven Tail Risk in Venture Capital Portfolio Construction
di: Liang, Yunqi, et al.
Pubblicazione: (2026)

Lévy Langevin Monte Carlo for sampling from heavy-tailed target distributions
di: Behme, Anita, et al.
Pubblicazione: (2025)

Exact asymptotics of the ruin probability in the Sparre Andersen model
di: Promyslov, Platon
Pubblicazione: (2026)

Stationarity with Occasionally Binding Constraints
di: Duffy, James A., et al.
Pubblicazione: (2023)

Optimal Control of a Battery Storage On the Energy Market
di: Schlüter, Stephan, et al.
Pubblicazione: (2024)

A New Stock Market Valuation Measure with Applications to Retirement Planning
di: Sarantsev, Andrey
Pubblicazione: (2019)

Stochastic integration with respect to a Lévy basis
di: Riedle, Markus
Pubblicazione: (2026)

Estimating the roughness exponent of stochastic volatility from discrete observations of the integrated variance
di: Han, Xiyue, et al.
Pubblicazione: (2023)

Mean-Field Analysis of Latent Variable Process Models on Dynamically Evolving Graphs with Feedback Effects
di: Ganguly, Ankan, et al.
Pubblicazione: (2025)

From constant to rough: A survey of continuous volatility modeling
di: Di Nunno, Giulia, et al.
Pubblicazione: (2023)

Risk-Neutral Pricing of Random-Expiry Options Using Trinomial Trees
di: Bossu, Sebastien, et al.
Pubblicazione: (2025)

On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models
di: Han, Xiyue, et al.
Pubblicazione: (2025)

Log Heston Model for Monthly Average VIX
di: Park, Jihyun, et al.
Pubblicazione: (2024)

Probability equivalent level for CoVaR and VaR in bivariate Student-\textit{t} copulas with application to foreign exchange risk monitoring
di: Flores-Silva, Daniela I., et al.
Pubblicazione: (2025)

Multivariate Tempered Space-Fractional Negative Binomial Process and Risk Models with Shocks
di: Pathak, Ashok Kumar, et al.
Pubblicazione: (2024)

Capital Asset Pricing Model with Size Factor and Normalizing by Volatility Index
di: Atsiwo, Abraham, et al.
Pubblicazione: (2024)

Modeling lower-truncated and right-censored insurance claims with an extension of the MBBEFD class
di: Gatti, Selim, et al.
Pubblicazione: (2023)

A high-order recombination algorithm for weak approximation of stochastic differential equations
di: Ninomiya, Syoiti, et al.
Pubblicazione: (2025)

Extended State-dependent Hawkes Process for Limit Order Books: Mathematical Foundation and the Reproduction of Volatility Signature Plots
di: Kimura, Akitoshi
Pubblicazione: (2026)

Low-Rank and Sparse Drift Estimation for High-Dimensional Lévy-Driven Ornstein--Uhlenbeck Processes
di: Palaisti, Marina
Pubblicazione: (2026)

On the use of case estimate and transactional payment data in neural networks for individual loss reserving
di: Avanzi, Benjamin, et al.
Pubblicazione: (2025)