Publications in collaboration with researchers from Centrum Wiskunde & Informatica (10)

2021

  1. On a Neural Network to Extract Implied Information from American Options

    Applied Mathematical Finance, Vol. 28, Núm. 5, pp. 449-475

2019

  1. BENCHOP–SLV: the BENCHmarking project in Option Pricing–Stochastic and Local Volatility problems

    International Journal of Computer Mathematics, Vol. 96, Núm. 10, pp. 1910-1923

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

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

  3. The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions

    Quantitative Finance, Vol. 19, Núm. 2, pp. 339-356

2018

  1. On the data-driven COS method

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

  2. Uncertainty quantification and Heston model

    Journal of Mathematics in Industry, Vol. 8, Núm. 1

2017

  1. On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options

    Applied Mathematics and Computation, Vol. 293, pp. 461-479

  2. On an efficient multiple time step Monte Carlo simulation of the SABR model

    Quantitative Finance, Vol. 17, Núm. 10, pp. 1549-1565

2015

  1. GPU acceleration of the stochastic grid bundling method for early-exercise options

    International Journal of Computer Mathematics, Vol. 92, Núm. 12, pp. 2433-2454

2013

  1. Probabilistic collaborative filtering with negative cross entropy

    RecSys 2013 - Proceedings of the 7th ACM Conference on Recommender Systems