Adam Kurpiel

LARE-efi

Avenue Leon Duguit, 33

Pessac, 608

France

SCHOLARLY PAPERS

3

DOWNLOADS

699

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Option Hedging with Stochastic Volatility

Number of pages: 22 Posted: 23 Nov 2007 Last Revised: 03 Apr 2009
Adam Kurpiel and Thierry Roncalli
LARE-efi and Amundi Asset Management
Downloads 525 (56,382)

Abstract:

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Option hedging, stochastic volatility, hedging simulation

2.

Topics on Two-State Option Pricing

Number of pages: 44 Posted: 22 Nov 2007 Last Revised: 01 Apr 2009
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, LARE-efi, Natixis and Amundi Asset Management
Downloads 174 (185,004)

Abstract:

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Numerical integration methods, Gauss quadratures, Monte Carlo, Quasi Monte Carlo, Sobol sequences, Faure sequences, two-dimensional PDE, Hopscotch, LOD, ADI, MOL, Stochastic volatility model, Malliavin calculus

3.

Hopscotch Methods for Two State Financial Models

Journal of Computational Finance, Vol. 2/3, 2000
Posted: 21 Nov 2007
Adam Kurpiel and Thierry Roncalli
LARE-efi and Amundi Asset Management

Abstract:

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Two-dimensional PDE, Hopscotch method, parabolic financial models, elliptic problems