SIAM Journal on Financial Mathematics
Collection
Collection
Published by SIAM
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A Fourier-based valuation method for Bermudan and barrier options under Heston's model Article
SIAM Journal on Financial Mathematics, 439-463.January 2011
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On the Heston model with stochastic interest rates Article
SIAM Journal on Financial Mathematics, 255-286.January 2011
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Saddlepoint approximations for expectations Article
SIAM Journal on Financial Mathematics, 692-714.January 2011
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Efficient pricing of European-style Asian options under exponential L\'evy processes based on Fourier cosine expansions Article
SIAM Journal on Financial Mathematics, 4(1), 399-426.January 2013
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Efficient computation of various valuation adjustments under local Lévy models Article
SIAM Journal on Financial Mathematics, 9(1), 251-273.A.I. Borovykh (Anastasia), A. Pascucci (Andrea) and C.W. Oosterlee (Kees)
February 2018