Zobrazeno 1 - 10
of 33
pro vyhledávání: '"Kathrin Glau"'
This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the stat
Quantitative models are omnipresent –but often controversially discussed– in todays risk management practice. New regulations, innovative financial products, and advances in valuation techniques provide a continuous flow of challenging problems
Autor:
Kathrin Glau, Linus Wunderlich
Publikováno v:
Annals of Operations Research.
The recently introduced deep parametric PDE method combines the efficiency of deep learning for high-dimensional problems with the reliability of classical PDE models. The accuracy of the deep parametric PDE method is determined by the best-approxima
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::da2f350b6270d61478843a6f4b9cf32d
https://doi.org/10.1007/s10479-023-05315-4
https://doi.org/10.1007/s10479-023-05315-4
Autor:
Maximillian Gaß, Kathrin Glau
Publikováno v:
The Journal of Computational Finance.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8a599a2e7913af75f85e4002b9bc517e
https://doi.org/10.21314/jcf.2021.014
https://doi.org/10.21314/jcf.2021.014
Autor:
Kathrin Glau, Linus Wunderlich
Publikováno v:
Applied Mathematics and Computation. 432:127355
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e3c5226178dbd5b4e1817ca4e5ca6b05
https://doi.org/10.1016/j.amc.2022.127355
https://doi.org/10.1016/j.amc.2022.127355
Publikováno v:
Journal of Computational Finance. :1-31
The implied volatility is a crucial element of any financial toolbox, since it is used for quoting and the hedging of options as well as for model calibration. In contrast to the Black-Scholes formula its inverse, the implied volatility, is not expli
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5c3e5558bc351c8f1c81bacf7055c564
https://doi.org/10.21314/jcf.2019.375
https://doi.org/10.21314/jcf.2019.375
Autor:
Kathrin Glau, Mirco Mahlstedt
Publikováno v:
International Journal of Computer Mathematics. 96:2302-2314
Chebyshev interpolation is a highly effective, intensively studied method and enjoys excellent numerical properties. The interpolation nodes are known beforehand, implementation is straightforward and the method is numerically stable. For efficiency,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::20bd97bb2c5939b17ad54f740fcadcf4
https://doi.org/10.1080/00207160.2019.1599364
https://doi.org/10.1080/00207160.2019.1599364
Publikováno v:
Journal of Computational Finance. 23:25-60
American put options are among the most frequently traded single stock options, and their calibration is computationally challenging since no closed-form expression is available. Due to the higher flexibility in comparison to European options, the ma
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fecc2ae6fd22eef4ff1c0f875996d0c6
https://doi.org/10.21314/jcf.2019.367
https://doi.org/10.21314/jcf.2019.367
Publikováno v:
Finance and Stochastics. 22:701-731
Recurrent tasks such as pricing, calibration and risk assessment need to be executed accurately and in real time. We concentrate on parametric option pricing (POP) as a generic instance of parametric conditional expectations and show that polynomial
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::511672a656df899c4c02c488803544ea
https://doi.org/10.1007/s00780-018-0361-y
https://doi.org/10.1007/s00780-018-0361-y
Autor:
Maximilian Gaß, Kathrin Glau
Publikováno v:
SIAM Journal on Financial Mathematics. 9:930-965
One popular approach to option pricing in Levy models is through solving the related partial integro differential equation (PIDE). For the numerical solution of such equations powerful Galerkin methods have been put forward e.g. by Hilber et al. (201
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b2c63ad8da9ce0e57113d40e11dc51b5
https://doi.org/10.1137/16m1070438
https://doi.org/10.1137/16m1070438