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2019
Mark BENCHOP–SLV : the BENCHmarking project in Option Pricing–Stochastic and Local Volatility problems
von Sydow, Lina ; Milovanović, Slobodan ; Larsson, Elisabeth ; In't Hout, Karel ; Wiktorsson, Magnus ^LU ; Oosterlee, Cornelis W. ; Shcherbakov, Victor ; Wyns, Maarten ; Leitao, Alvaro and Jain, Shashi , et al. (2019) In International Journal of Computer Mathematics
- Contribution to journal › Article
2016
Mark Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method
Karlsson, Patrik ^LU ; Jain, Shashi and Oosterlee, Cornelis W. (2016) In Applied Mathematical Finance p.175-196
- Contribution to journal › Article
Mark Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
Karlsson, Patrik ^LU ; Jain, Shashi and Oosterlee, Cornelis W. (2016) In International Journal of Financial Engineering 3(1).
- Contribution to journal › Article
Mark Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
Karlsson, Patrik ^LU ; Feng, Qian ; Jain, Shashi ; Kandhai, Drona and Oosterlee, Cornelis W. (2016) In Journal of Computational Finance 20(1). p.139-172
- Contribution to journal › Article