Publicacións en colaboración con investigadores/as de Universitat de Barcelona (5)

2020

  1. Model-free computation of risk contributions in credit portfolios

    Applied Mathematics and Computation, Vol. 382

  2. The CTMC–heston model: Calibration and exotic option pricing with SWIFT

    Journal of Computational Finance, Vol. 24, Núm. 4, pp. 71-114

2019

  1. Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for early-exercise options

    Journal of Computational Science, Vol. 33, pp. 95-112

2018

  1. On the data-driven COS method

    Applied Mathematics and Computation, Vol. 317, pp. 68-84

  2. SWIFT valuation of discretely monitored arithmetic Asian options

    Journal of Computational Science, Vol. 28, pp. 120-139