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- 2019
-
Mark
BENCHOP–SLV : the BENCHmarking project in Option Pricing–Stochastic and Local Volatility problems
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
(
- Contribution to journal › Article
-
Mark
Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
(
- Contribution to journal › Article
-
Mark
Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
(
- Contribution to journal › Article
- 2015
-
Mark
BENCHOP—The BENCHmarking project in Option Pricing
(
- Contribution to journal › Article