BOROVYKH, ANASTASIA IGOREVNA
BOROVYKH, ANASTASIA IGOREVNA
DIPARTIMENTO DI MATEMATICA
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Efficient Computation of Various Valuation Adjustments Under Local Lévy Models
2018 andrea pascucci; anastasia borovykh; cornelis w. oosterlee
Systemic risk in a mean-field model of interbank lending with self-exciting shocks
2018 Borovykh, Anastasia; Pascucci, Andrea; La Rovere, Stefano*
Bermudan option valuation under state-dependent models
2017 Borovykh, Anastasia; Pascucci, Andrea; Oosterlee, Cornelis W.
Pricing Bermudan options under local Lévy models with default
2017 Borovykh, A.; Pascucci, A.; Oosterlee, C.W.
Titolo | Autore(i) | Anno | Periodico | Editore | Tipo | File |
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Efficient Computation of Various Valuation Adjustments Under Local Lévy Models | andrea pascucci; anastasia borovykh; cornelis w. oosterlee | 2018-01-01 | SIAM JOURNAL ON FINANCIAL MATHEMATICS | - | 1.01 Articolo in rivista | b0938f807cc5fa638bb24039c3b232f1b01b.pdf |
Systemic risk in a mean-field model of interbank lending with self-exciting shocks | Borovykh, Anastasia; Pascucci, Andrea; La Rovere, Stefano* | 2018-01-01 | IISE TRANSACTIONS | - | 1.01 Articolo in rivista | 1710.00231.pdf; PASCUCCI_postprint.pdf |
Bermudan option valuation under state-dependent models | Borovykh, Anastasia; Pascucci, Andrea; Oosterlee, Cornelis W. | 2017-01-01 | - | Springer New York LLC | 4.01 Contributo in Atti di convegno | BPO_icasqf_v3.pdf |
Pricing Bermudan options under local Lévy models with default | Borovykh, A.; Pascucci, A.; Oosterlee, C.W. | 2017-01-01 | JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | - | 1.01 Articolo in rivista | BOP1.11.pdf |