Deep Q-Learning for Nash Equilibria: Nash-DQN

JOURNAL ARTICLE published 2 January 2022 in Applied Mathematical Finance

Research funded by Natural Sciences and Engineering Research Council of Canada (RGPIN-2018-05705,RGPAS-2018-522715)

Authors: Philippe Casgrain | Brian Ning | Sebastian Jaimungal

Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes

JOURNAL ARTICLE published December 2006 in Applied Mathematical Finance

Authors: Claudia Ribeiro | Nick Webber

Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing

JOURNAL ARTICLE published April 2008 in Applied Mathematical Finance

Authors: Syoiti Ninomiya | Nicolas Victoir

On the Valuation of Discrete Asian Options in High Volatility Environments

JOURNAL ARTICLE published 2 November 2021 in Applied Mathematical Finance

Authors: Sascha Desmettre | Jörg Wenzel

Pricing Fixed-Income Securities in an Information-Based Framework

JOURNAL ARTICLE published September 2012 in Applied Mathematical Finance

Authors: Lane P. Hughston | Andrea Macrina

Optimal Weak Static Hedging of Equity and Credit Risk Using Derivatives

JOURNAL ARTICLE published 11 February 2010 in Applied Mathematical Finance

Authors: Dirk Becherer | Ian Ward

Monte Carlo applied to exotic digital options

JOURNAL ARTICLE published September 2001 in Applied Mathematical Finance

Authors: Victor E. Vaugirard

Optimal Hedging in Incomplete Markets

JOURNAL ARTICLE published 3 July 2020 in Applied Mathematical Finance

Authors: George Bouzianis | Lane P. Hughston

A survey of sampling-based Bayesian analysis of financial data

JOURNAL ARTICLE published December 2002 in Applied Mathematical Finance

Authors: James M. Sfiridis | Alan E. Gelfand

A New Variance Reduction Technique for Estimating Value-at-Risk

JOURNAL ARTICLE published 2 January 2015 in Applied Mathematical Finance

Authors: Ralf Korn | Mykhailo Pupashenko

Option pricing with hedging at fixed trading dates

JOURNAL ARTICLE published June 1996 in Applied Mathematical Finance

Authors: Fabio Mercurio | Ton C. F. Vorst

Valuation of sinking-fund bonds in the Vasicek and CIR frameworks^∗Financial support from Murst Fondo 40% on ‘Modelli di struttura a termine dei tassi d'interesse’ is gratefully acknowledged.

JOURNAL ARTICLE published December 1996 in Applied Mathematical Finance

Authors: Anna Rita Bacinello | Fulvio Ortu | Patrizia Stucchi

Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading

JOURNAL ARTICLE published 1 November 2020 in Applied Mathematical Finance

Authors: Martin D. Gould | Nikolaus Hautsch | Sam D. Howison | Mason A. Porter

Valuation of European Options Under an Uncertain Market Price of Volatility Risk

JOURNAL ARTICLE published 4 May 2022 in Applied Mathematical Finance

Research funded by Engineering and Physical Sciences Research Council (1816514)

Authors: Bartosz Jaroszkowski | Max Jensen

On parabolic equations with gauge function term and applications to the multidimensional Leland equation

JOURNAL ARTICLE published September 2003 in Applied Mathematical Finance

Authors: Jörg Kampen | Marco Avellaneda

Exponential risk measure with application to UK asset allocation

JOURNAL ARTICLE published June 2000 in Applied Mathematical Finance

Authors: Stephen E. Satchell | David C. Damant | Soosung Hwang

Arbitrage valuation and bounds for sinking-fund bonds with multiple sinking-fund dates

JOURNAL ARTICLE published December 1999 in Applied Mathematical Finance

Authors: Anna Rita Bacinello | Fulvio Ortu

A possible way of estimating options with stable distributed underlying asset prices

JOURNAL ARTICLE published March 2004 in Applied Mathematical Finance

Authors: C. Tsibiridi | C. Atkinson

Smart Indexing Under Regime-Switching Economic States

JOURNAL ARTICLE published 2 September 2020 in Applied Mathematical Finance

Authors: Chanaka Edirisinghe | Yonggan Zhao

Pricing and Hedging of Lookback Options in Hyper-exponential Jump Diffusion Models

JOURNAL ARTICLE published November 2013 in Applied Mathematical Finance

Authors: Markus Hofer | Philipp Mayer