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A closed-form extension to the Black-Cox modelInternational Journal of Theoretical and Applied Finance, 2012, 15 (8), pp.1250053:1-30. ⟨10.1142/S0219024912500537⟩
Article dans une revue
hal-00414280v2
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How many inner simulations to compute conditional expectations with least-square Monte Carlo?Methodology and Computing in Applied Probability, 2023, 25 (3), pp.71. ⟨10.1007/s11009-023-10038-x⟩
Article dans une revue
hal-03770051v2
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Stochastic Local Intensity Loss Models with Interacting Particle SystemsMathematical Finance, 2016, 26 (2), pp.366-394. ⟨10.1111/mafi.12059⟩
Article dans une revue
hal-00786239v1
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