Výsledky vyhledávání - "derivatives pricing"

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Universal approximation on non-geometric rough paths and applications to financial derivatives pricing

Autor: Harang, Fabian A., Benth, Fred Espen, Straum, Fride

We present a novel perspective on the universal approximation theorem for rough path functionals, introducing a polynomial-based approximation class. We extend universal approximation to non-geometric rough paths within the tensor algebra. This devel

Externí odkaz: http://arxiv.org/abs/2412.16009

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A Path Integral Approach for Time-Dependent Hamiltonians with Applications to Derivatives Pricing

Autor: Stedman, Mark, Capriotti, Luca

We generalize a semi-classical path integral approach originally introduced by Giachetti and Tognetti [Phys. Rev. Lett. 55, 912 (1985)] and Feynman and Kleinert [Phys. Rev. A 34, 5080 (1986)] to time-dependent Hamiltonians, thus extending the scope o

Externí odkaz: http://arxiv.org/abs/2408.02064

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Elektronická kniha

Derivatives Pricing and Modeling

Autor: Jonathan Batten, Niklas F. Wagner

This edited volume will highlight recent research in derivatives modelling and markets in a post-crisis world across a number of dimensions or themes. The book addresses the following main areas: derivatives models and pricing, model application and

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