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Heston Stochastic-Local Volatility, HSLV, Stochastic Volatility, Local Volatility, Heston, Hybrid Models, Calibration, Monte Carlo
Heston-Hull-White, Heston-Cox-Ingersoll-Ross, equity-interest rate hybrid products, affine jump diffusion processes
Exact Sampling, Heston, Squared Bessel, SABR, Stochastic Collocation, Lagrange Interpolation, Monte Carlo
Time-Dependent SABR, FX, Calibration, Effective Parameters, Local Volatility, Monte Carlo, Path-Dependent
Option pricing , Bermudan options, American options, convolution, Lévy processes, Fast Fourier Transform
Arbitrage-free Hagan’s density, Collocation Method, Orthogonal Projection
Schobel-Zhu-Hull-White, Heston-Hull-White, stochastic volatility, hybrid
Local Volatility with Stochastic Interest Rates, Hybrid Model, Stochastic Volatility, Libor Market Model, Volatility Smiles
Hybrid Models, Heston Equity Model, Libor Market Model with Stochastic Volatility, Displaced Diffusion, Affine Diffusion, Fast Calibration
Hybrid, Heston-Gaussian Multi-Factor Model (H-Gn), Affine Diffusion, Stochastic Volatility
Foreign-exchange (FX), stochastic volatility, Heston model, stochastic interest rates, interest rate smile, forward characteristic function, hybrids, affne diffusion, effcient calibration
hybrid SABR-HW model, calibration, model approximation, weighted Monte Carlo method
quantum majorization, portfolio risk, risk measures, order
concentration profile, concentration map, Gini index, Lorenz curve, CAES, ES, VaR
Quantum majorization, correlation matrix, portfolio risk, forecasting, financial crash
credit valuation adjustment, CVA, Bermudan swaption EE, PFE, risk-neutral measure, real-world measure
Expected Exposure, Potential Future Exposure, Bermudan options, Heston, numerical computation, finite differences, stochastic grid bundling method
SABR model; Exact simulation; Monte Carlo methods; Copulas; Stochastic collocation; Fourier techniques; Exotic options
Copulas, Principal Component Analysis, Dependence modelling, Capital modelling, Systemic risk
Local volatility, Monte Carlo, hybrid, stochastic volatility, stochastic local volatility, stochastic interest rates, stochastic collocation, regression, SABR, Heston, Hull-White
Bermudan Swaptions, Credit Value Adjustment (CVA), Monte Carlo Simulation, Stochastic Grid Bundling Method (SGBM), XVA
American Options, High Dimensional, Stochastic Grid Method, Regression, Monte Carlo, SSAP, LSM, Bermudan, Gram Charlier
Collocating Local Volatility, stochastic local volatility, Monte Carlo, stochastic collocation, calibration, forward volatility, barrier options
Jump clustering, Queue-Hawkes process, COS method, Bermudan option, Volatility smile
Pricing American Options using Monte Carlo Methods, Greeks for Bermudan option, Monte Carlo methods for pricing Bermudan options
Credit valuation adjustment (CVA), exposure profiles, stochastic interest rate, stochastic volatility, European, Bermudan and barrier options, sensitivities, Monte Carlo simulation, least squares, bundling
linear complementarity problem, obstacle problem, iterative method, multigrid method, black-box method, American option
Option pricing, European options, Shannon wavelets, sinus cardinal function, Fourier transform inversion
Outlier detection, Anomaly explanation, Isolation, Distance, Ensemble methods
Market risk, delta-gamma approximation, Value-at-Risk, Expected Shortfall, Fourier transform, Haar wavelets
Greeks, Monte Carlo, MVA, Sensitivities Along Scenarios, Pathwise Greeks For American Options
Fourier, Density estimation, Statistical Learning theory, Greeks
Computational finance, Stochastic-local volatility models, SABR model, Copulas
Copula, Lorenz Curve, Lorenz Copula, Kendall's tau, Generator
Levy processes,Credit risk, Default probability, Credit Default Swaps, Fourier-cosine expansion
option pricing, European options, Haar wavelets, B-Spline wavelets
Reinforced Urn Process, Expectation-Maximization, Bivariate survival function, Left-truncation, Right-Censoring
Liquidity Risk, Portfolio Valuation, Ladder MSDC, Liquidation Sequence, Exponential MSDC, Approximation
Credit Valuation Adjustment (CVA), Wrong Way Risk (WWR) Modeling, Efficient Algorithms, Bermudan Options
Fourier-cosine expansion method, European and Bermudan options, CEV process, CIR process, local volatility, characteristic function, backward stochastic differential equations, Milstein scheme, Order 2.0 weak Taylor scheme
Applied mathematical finance; Bermudan swaptions; Computational finance; Derivative pricing models; Interest rate modelling; LIBOR Market Model
Shannon wavelets; Bermudan options; barrier options
Option pricing, European options, two-color rainbow options, basket options, spread options, Lévy process, Shannon wavelets, cardinal sine function, Fourier transform inversion
dynamic portfolio management; simulation method; least-square regression; Taylor expansion; Fourier cosine expansion method
Fast Fourier Transform, CVA, XVA, BSDE, Characteristic Function
Monte Carlo simulation, least-squares regression, jump-diffusion process, Bermudan option, high-dimensional problem
Backward stochastic differential equations, Fourier cosine expansion method, European options, market imperfections, jump-diffusion process, utility indifference pricing
Credit risk, Value-at-Risk, Expected Shortfall, Multi-factor models, Gaussian copula, t-copula, Fourier transform inversion, Haar wavelets
Fourier-cosine expansion method, characteristic function, coupled forward-backward stochastic differential equations, Richardson extrapolation, second-order convergence, cross-hedging
Bermudan option, local Lévy model, defaultable asset, asymptotic expansion, Fourier-cosine expansion
Computational finance; Early-exercise derivatives; Basket Bermudan options; High-dimensional pricing; Stochastic Grid Bundling Method (SGBM); Monte Carlo simulation; Least squares regression; High performance computing; Parallel programming; GPGPU; Compute Unified Device Architecture (CUDA)
mean-variance optimization, constrained optimization, simulation method, least-square regression, time-consistency
