Volume 9; Issue 3

SIAM Journal on Financial Mathematics

Volume 9; Issue 3
1

A Flexible Galerkin Scheme for Option Pricing in Lévy Models

Gaß, Maximilian, Glau, Kathrin
Journal:
SIAM Journal on Financial Mathematics
Year:
2018
Language:
english
File:
PDF, 814 KB
english, 2018
2

Exact Smooth Term-Structure Estimation

Filipović, Damir, Willems, Sander
Journal:
SIAM Journal on Financial Mathematics
Year:
2018
Language:
english
File:
PDF, 894 KB
english, 2018
3

The Parareal Algorithm for American Options

Pagès, Gilles, Pironneau, Olivier, Sall, Guillaume
Journal:
SIAM Journal on Financial Mathematics
Year:
2018
Language:
english
File:
PDF, 594 KB
english, 2018
5

Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks

Jacquier, Antoine, Liu, Hao
Journal:
SIAM Journal on Financial Mathematics
Year:
2018
Language:
english
File:
PDF, 717 KB
english, 2018
6

The Markowitz Category

Armstrong, John
Journal:
SIAM Journal on Financial Mathematics
Year:
2018
Language:
english
File:
PDF, 442 KB
english, 2018