International Journal of Theoretical and Applied Finance
Collection
Collection
- ISSN: 1793-6322
Published by World Scientific
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Wavelet transforms for the statistical analysis of returns generating stochastic processes Article
International Journal of Theoretical and Applied Finance, 4(3), 511-534.January 2001
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Local scale invariance and contingent claim pricing II. Path-dependent contingent claims. Article
International Journal of Theoretical and Applied Finance, 4(1), 23-43.January 2001 -
Local scale invariance and contingent claim pricing Article
International Journal of Theoretical and Applied Finance, 4(1), 1-21.January 2001 -
Analytic approximation to constant maturity swap convexity correction in a multi-factor SABR model Article
International Journal of Theoretical and Applied Finance, 13(7), 1019-1046.January 2010 -
Efficient unbiased simulation scheme for SABR stochastic volatility model Article
International Journal of Theoretical and Applied Finance, 15(2)B. Chen (Bin), C.W. Oosterlee (Kees) and J.A.M. van der Weide (Hans)
January 2012 -
A low-bias simulation scheme for the SABR stochastic volatility model Article
International Journal of Theoretical and Applied FinanceB. Chen (Bin), C.W. Oosterlee (Kees) and J.A.M. van der Weide (Hans)
April 2012
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Efficient computation of exposure profiles for counterparty credit risk Article
International Journal of Theoretical and Applied Finance, 17(4)C.S.L. de Graaf (Kees), Q. Feng (Qian), B.D. Kandhai and C.W. Oosterlee (Kees)
January 2014
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The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation Article
International Journal of Theoretical and Applied Finance, 17(7), 1450045:1-1450045:30.A.W. van der Stoep (Anton), L.A. Grzelak (Lech Aleksander) and C.W. Oosterlee (Kees)
November 2014