International Journal of Theoretical and Applied Finance
Collection
Collection
- ISSN: 1793-6322
Published by World Scientific
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The time-dependent FX-SABR model: Efficient calibration based on effective parameters Article
International Journal of Theoretical and Applied Finance, 18(6), 1550042:1-1550042:38.A.W. van der Stoep (Anton), L.A. Grzelak (Lech Aleksander) and C.W. Oosterlee (Kees)
September 2015
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On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization Article
International Journal of Theoretical and Applied Finance, 20(7), 1750049:1-1750049:2.November 2017 -
Computing credit valuation adjustment for Bermudan options with wrong way risk Article
International Journal of Theoretical and Applied Finance, 20(8)January 2018 -
Collocating volatility: a competative alternative to stochastic local volatility models Article
International Journal of Theoretical and Applied Finance, 23(6)A.W. van der Stoep (Anton), L.A. Grzelak (Lech Aleksander) and C.W. Oosterlee (Kees)
September 2020