CWI Institutional Repository
Scholarly works by researchers at Centrum Wiskunde & Informatica (CWI), the national research institute for mathematics and computer science in the Netherlands-
On cross-currency models with stochastic volatility and correlated interest rates Article
Applied Mathematical Finance, 1-35.January 2011
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Automatic Generation of Video Narratives from Shared UGC In Proceedings
V. Zsombori, M. Frantzis, R.L. Guimarães (Rodrigo Laiola), M. Ursu (Marian), P.S. César Garcia (Pablo Santiago), I. Kegel (Ian), R. Craigie and D.C.A. Bulterman (Dick)
January 2011
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Generalized beta regression models for random Loss-Given-Default Article
Journal of Credit Risk, 7(4), 1-27.January 2011
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GPU implementation of a Helmholtz Krylov solver preconditioned by a shifted Laplace method Article
Journal of Computational and Applied Mathematics, 281-293.January 2011
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The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives Article
Quantitative Finance, 11(11), 1647-1663.L.A. Grzelak (Lech Aleksander), C.W. Oosterlee (Kees) and S. van Weeren
January 2011
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January 2011
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Stochastic Reo: a case study In Proceedings
Y.-J. Moon (Young-Joo), F. Arbab (Farhad), A.M. Silva (Alexandra), A. Stam and C. Verhoef (Chretien)
January 2011 -
Saddlepoint approximations for expectations Article
SIAM Journal on Financial Mathematics, 692-714.January 2011