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Computational Finance

Authors and titles for recent submissions

[ total of 8 entries: 1-8 ]
[ showing up to 25 entries per page: fewer | more ]

Mon, 13 Nov 2017

[1]  arXiv:1711.03744 [pdf, ps, other]
Title: Efficient Simulation for Portfolio Credit Risk in Normal Mixture Copula Models
Comments: 24 pages
Subjects: Computational Finance (q-fin.CP); Methodology (stat.ME)
[2]  arXiv:1711.03733 [pdf, other]
Title: Variance optimal hedging with application to Electricity markets
Authors: Xavier Warin
Comments: 21 pages, 9 figures
Subjects: Computational Finance (q-fin.CP)

Thu, 9 Nov 2017

[3]  arXiv:1711.03023 [pdf, other]
Title: The Calibration of Stochastic-Local Volatility Models - An Inverse Problem Perspective
Subjects: Computational Finance (q-fin.CP); Numerical Analysis (math.NA)

Wed, 1 Nov 2017

[4]  arXiv:1710.11435 (cross-list from q-fin.PR) [pdf, other]
Title: Quantization goes Polynomial
Subjects: Pricing of Securities (q-fin.PR); Computational Finance (q-fin.CP)
[5]  arXiv:1710.11232 (cross-list from q-fin.PR) [pdf, ps, other]
Title: The implied volatility of Forward-Start options: ATM short-time level, skew and curvature
Comments: 18 pages
Subjects: Pricing of Securities (q-fin.PR); Computational Finance (q-fin.CP)

Tue, 31 Oct 2017

[6]  arXiv:1710.10487 [pdf, ps, other]
Title: Dual control Monte Carlo method for tight bounds of value function under Heston stochastic volatility model
Comments: 25 pages, 2 figures
Subjects: Computational Finance (q-fin.CP)
[7]  arXiv:1710.10293 [pdf, ps, other]
Title: Polynomial processes for power prices
Subjects: Computational Finance (q-fin.CP)

Wed, 25 Oct 2017

[8]  arXiv:1710.08450 [pdf, ps, other]
Title: $ε$-Monotone Fourier Methods for Optimal Stochastic Control in Finance
Subjects: Computational Finance (q-fin.CP)
[ total of 8 entries: 1-8 ]
[ showing up to 25 entries per page: fewer | more ]

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