Quantitative Finance
Collection
Collection
- ISSN: 1469-7696
Published by Taylor & Francis
-
August 2003
-
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
-
Extension of stochastic volatility models with Hull-White interest rate process Article
Quantitative Finance, 12(1), 89-105.L.A. Grzelak (Lech Aleksander), C.W. Oosterlee (Kees) and S. van Weeren
January 2012 -
Efficient portfolio valuation incorporating liquidity risk Article
Quantitative Finance, 13 (10), 1575-1586.January 2013
-
On an efficient multiple time step Monte Carlo simulation of the SABR model Article
Quantitative Finance, 17(10), 1549-1565.Á. Leitao Rodriguez (Álvaro), L.A. Grzelak (Lech Aleksander) and C.W. Oosterlee (Kees)
April 2017
-
A novel Monte Carlo approach to hybrid local volatility models Article
Quantitative Finance, 17(9), 1-20.A.W. van der Stoep (Anton), L.A. Grzelak (Lech Aleksander) and C.W. Oosterlee (Kees)
September 2017 -
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions Article
Quantitative Finance, 19(2), 339-356.L.A. Grzelak (Lech Aleksander), J.A.S. Witteveen (Jeroen), M. Suárez-Taboada (Maria) and C.W. Oosterlee (Kees)
June 2018