Cite

Antonov, A., Issakov, S. and Mechkov, S. (2015). Backward induction for future values, Risk.net, Numerix research paper, http://www.risk.net/ derivatives/2387384/backward-inductionfuture- values.Search in Google Scholar

BCBS (2006). Basel II: International convergence of capital measurement and capital standards: A revised framework-comprehensive version, Technical Report 128, BCBS Paper, http://www.bis.org/publ/bcbs128.pdf.Search in Google Scholar

BCBS (2011). Basel III: A global regulatory framework for more resilient banks and banking systems-revised version, Technical Report 189, BCBS Paper, http://www.bis.org/publ/bcbs189.pdf.Search in Google Scholar

Bernis, G. and Scotti, S. (2017). Alternative to beta coefficients in the context of diffusions, Quantitative Finance 17(2): 275-288.10.1080/14697688.2016.1188214Search in Google Scholar

Black, F. and Scholes, M. (1973). The pricing of options and corporate liabilities, The Journal of Political Economy 81(3): 637-654.10.1086/260062Search in Google Scholar

Bonollo, M., Di Persio, L., Oliva, I. and Semmoloni, A. (2015). A quantization approach to the counterparty credit exposure estimation, http://ssrn.com/abstract=2574384.Search in Google Scholar

Borodin, A. and Salminen, P. (2002). Handbook of Brownian Motion: Facts and Formulae, 2nd Edn., Birkh¨auser, Basel.Search in Google Scholar

Brigo, D., Morini, M. and Pallavicini, A. (2013). Counterparty Credit Risk, Collateral and Funding: With Pricing Cases for All Asset Classes, Wiley, Chichester.10.1002/9781118818589Search in Google Scholar

Brydges, D., Van Der Hofstad, R. and Konig, W. (2007). Joint density for the local times of continuous-time Markov chains, The Annals of Probability 35(4): 1307-1332.10.1214/009171906000001024Search in Google Scholar

Callegaro, G., Fiorin, L. and Grasselli, M. (2015). Quantized calibration in local volatility, Risk.net (Cutting Edge: Derivatives Pricing) (2015): 56-67.Search in Google Scholar

Callegaro, G., Fiorin, L. and Grasselli, M. (2017). Pricing via quantization in stochastic volatility models, Quantitative Finance, DOI: 10.1080/14697688.2016.1255348, (in print).10.1080/14697688.2016.1255348Search in Google Scholar

Callegaro, G. and Sagna, A. (2013). An application to credit risk of a hybrid Monte Carlo optimal quantization method, Journal of Computational Finance 16(4): 123-156.10.21314/JCF.2013.270Search in Google Scholar

Castagna, A. (2013). Fast computing in the CCR and CVA measurement, Technical report, IASONWorking paper.Search in Google Scholar

Chevalier, E., Ly Vath, V. and Scotti, S. (2013). An optimal dividend and investment control problem under debt constraints, Journal on Financial Mathematics 4(1): 297-326.10.1137/120866816Search in Google Scholar

Cordoni, F. and Di Persio, L. (2014). Backward stochastic differential equations approach to hedging, option pricing and insurance problems, International Journal of Stochastic Analysis 2014, Article ID: 152389, DOI: 10.1155/2014/152389.10.1155/2014/152389Search in Google Scholar

Cordoni, F. and Di Persio, L. (2016). A BSDE with delayed generator approach to pricing under counterparty risk and collateralization, International Journal of Stochastic Analysis 2016, Article ID: 1059303, DOI: 10.1155/2016/1059303.10.1155/2016/1059303Search in Google Scholar

Di Persio, L., Pellegrini, G. and Bonollo, M. (2015). Polynomial chaos expansion approach to interest rate models, Journal of Probability and Statistics 2015, Article ID: 369053, DOI: 10.1155/2015/369053.10.1155/2015/369053Search in Google Scholar

Di Persio, L. and Perin, I. (2015). An ambit stochastic approach to pricing electricity forward contracts: The case of the German energy market, Journal of Probability and Statistics 2015, Article ID: 626020, DOI: 10.1155/2015/626020.10.1155/2015/626020Search in Google Scholar

Doney, R. and Yor, M. (1998). On a formula of Takacs for Brownian motion with drift, Journal of Applied Probability 35(2): 272-280.10.1239/jap/1032192846Search in Google Scholar

Glasserman, P. (2012). Risk horizon and rebalancing horizon in portfolio risk measurement, Mathematical Finance 22(2): 215-249.10.1111/j.1467-9965.2010.00465.xSearch in Google Scholar

Haug, E. (1983). The Complete Guide to Option Pricing Formulas, McGraw-Hill, New York, NY.Search in Google Scholar

Heston, S. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options, The Review of Financial Studies 6(2): 327-343.10.1093/rfs/6.2.327Search in Google Scholar

Hull, J. (1999). Options, Futures, and Other Derivatives, Pearson Education, Englewood Cliffs, NJ.Search in Google Scholar

Hull, J. and White, A. (1990). Pricing interest-rate derivative securities, The Review of Financial Studies 3(4): 573-592.10.1093/rfs/3.4.573Search in Google Scholar

Karatzas, I. and Shreve, S. (1991). Brownian Motion and Stochastic Calculus, Springer-Verlag, New York, NY.Search in Google Scholar

Lam, K., Yu, P. and Xin, L. (2009). Accumulator pricing, 2009 Symposium on Computational Intelligence for Financial Engineering, Nashville, TN, USA.Search in Google Scholar

Lelong, J. (2016). Pricing American options using martingale bases, https://hal.archives-ouvertes.fr/hal-01299819 .Search in Google Scholar

Lévy, P. (1939). Sur certains processus stochastiques homog`enes, Compositio Mathematica 7: 283-339.Search in Google Scholar

Lévy, P. (1965). Processus stochastiques et mouvement brownien, Gauthier-Villars, Paris.Search in Google Scholar

Liu, Q. (2015). Calculation of credit valuation adjustment based on least square Monte Carlo methods, Mathematical Problems in Engineering 2015, Article ID: 959312, DOI: 10.1155/2015/959312.10.1155/2015/959312Search in Google Scholar

Mijatovic, A. (2010). Local time and the pricing oftime-dependent barrier options, Finance and Stochastics 14(13): 13-48.10.1007/s00780-008-0077-5Search in Google Scholar

Moody’s (2009). Moody’s global corporate finance recovery rates, Technical report, Moody’s Investors Service.Search in Google Scholar

Pagés, G. and Wilbertz, B. (2011). GPGPUs in computational finance: Massive-parallel computing for American style options, Technical report, Laboratoire de Probabilit´e, Paris VI-VII.10.1002/cpe.1774Search in Google Scholar

Saita, F. (2007). Value at Risk and Bank Capital Management, Elsevier, Cambridge, MA.10.1016/B978-012369466-9.50003-2Search in Google Scholar

Sinkala, W. and Nkalashe, T. (2015). Lie symmetry analysis of a first-order feedback model of option pricing, Advances in Mathematical Physics 2015, Article ID: 361785, DOI: 10.1155/2015/361785.10.1155/2015/361785Search in Google Scholar

Takacs, L. (1995). On the local time of the Brownian motion, The Annals of Applied Probability 5(3): 741-756.10.1214/aoap/1177004703Search in Google Scholar

Vasicek, O. (1977). An equilibrium characterization of the term structure, Journal of Financial Economics 5(2): 177-188.10.1016/0304-405X(77)90016-2Search in Google Scholar

eISSN:
2083-8492
Language:
English
Publication timeframe:
4 times per year
Journal Subjects:
Mathematics, Applied Mathematics