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8 research outputs found

Latin Hypercube Sampling with Dependence and Applications in Finance

Author: / M Frankfurt
A B Owen
A B Owen
A W Vaart
Abrar
Andreas / Weber
Andreas / Weber
Burger
C Adams
C Genest
Christoph / Becker
Christoph / Becker
Christoph / Schalast
Christoph / Schalast
Clemens J Jobe
Daniel / Deister
Dietmar / Anders
E Hobson
Erich / Barthel
Erich / Barthel
F H Ruymgaart
Gernot M Becker
Gernot M Becker
Gnu Octave
G�nter Eberle
H Joe
Heinz / Cremers
Hfb -Sonderarbeitsberichte Der Hfb -Business School Of Finance &amp
J Clarkson
J Imai
J Jacod
J Von Neumann
J.-D Fermanian
J�rg / Richard
J�rgen / Moormann
J�rgen Moormann
K G Schaeffler
L R�schendorf
Luise / H�lscher
M D Mckay
M Stein
Marc / B�ttger
Marcus / Bayer
Michael / Heun
Natalie Packham
O Kallenberg
P Deheuvels
P Deheuvels
P Gaenssler
P Glasserman
Pierre / Chevalier
Pierre / Chevalier
Quantlib
R D Gill
R Gill
Robert A Dickler
Schalast
Thomas / Almer
Thomas / Heidorn
Thomas / Heidorn
Thomas / Heidorn
Thomas / Heidorn
Thomas / Heidorn
Thomas / Heidorn
Thomas / Heidorn
Thomas / Heidorn
Thomas / Heidorn
Thomas / Heidorn
Thomas / Heimer
Thomas Heidorn
W Feller
W H Press
W Schmidt
Wolfgang M. Schmidt
Wolfgang Schmidt
Publication venue: 'Elsevier BV'
Publication date: 01/01/2008
Field of study

Fast Approximate Pricing for FX Target Redemption Forwards

Author: A Quantlib
Peter Caspers
Publication venue: 'Elsevier BV'
Publication date: 01/01/2015
Field of study

Jamshidian Swaption Formula Fine Tuned

Author: A Quantlib
Andersen Piterbarg
Peter Caspers
Publication venue: 'Elsevier BV'
Publication date: 01/01/2013
Field of study

Farmer's CMS Spread Option Formula for Negative Rates

Author: A Quantlib
Mercurio Brigo
Peter Caspers
Publication venue: 'Elsevier BV'
Publication date: 01/01/2015
Field of study

Implementation of the ZABR Model

Author: A Quantlib
Jesper Andreasen
Peter Caspers
Publication venue: 'Elsevier BV'
Publication date: 01/01/2013
Field of study

Model Calibration with Neural Networks

Author: A Quantlib
Andres Hernandez
Djork-Arn� Clevert
James Bergstra
Jasper Snoek
Kurt Hornik
Timothy Dozat
Publication venue: 'Elsevier BV'
Publication date: 01/01/2016
Field of study

Applying Deep Learning to Derivatives Valuation

Author: A Green
A Ng
Andrew David Green
D Lewandowski
D P Kingma
E
G Cybenko
I Goodfellow
J M Hutchinson
K Hornik
M Ga�
M Zeron
P Henry-Labordere
P Tenti
Quantlib
R Brummelhuis
R Culkin
Ryan Ferguson
W H Guss
Publication venue: 'Elsevier BV'
Publication date: 01/01/2018
Field of study

Model Calibration: Global Optimizer vs. Neural Network

Author: A Hernandez
A Quantlib
Andres Hernandez
Andres Hernandez
D Brigo
D Nov�k
Djork-Arn� Clevert
G Cybenko
J T Connor
Jasper Snoek
Johan Bollen1
John Hull
K He
K Zaw
Kurt Hornik
L Zhang
M Klos
N Srivastava
R J Frank
S Ioffe
T Mare
Timothy Dozat
Yavor Kovachev
Publication venue: 'Elsevier BV'
Publication date: 01/01/2017
Field of study

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