Found 11 Documents (Results 1–11)
Analytic bond pricing for short rate dynamics evolving on matrix Lie groups. (English) Zbl 1468.91182
Investing in the size factor. (English) Zbl 1468.91138
MSC:
91G10
Random matrix application to correlations amongst the volatility of assets. (English) Zbl 1468.91154
Time-varying forecasts by variational approximation of sequential Bayesian inference. (English) Zbl 1469.62342
On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation. (English) Zbl 1465.91107
American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics. (English) Zbl 1468.91158
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