Publications in area "Computational Finance"
All || By Area || By Year| Title | Published | SHARCNET Authors | Area |
|---|---|---|---|
| 1. Bridge Copula Model for Multi-Asset Pricing | 2009 | Campolieti G., Makarov R., and Vasiliev A. | Computational Finance |
| 2. Path integral pricing of Asian options on state dependent volatility models | 2008 | G. Campolieti and R. Makarov | Computational Finance |
| 3. Stochastic algorithms with Hermite cubic spline interpolation for global estimation of solutions of boundary value problems | 2008 | Makarov, R.N. and Shkarupa, E.V. | Computational Finance |
| 4. Pricing path-dependent options on state dependent volatility models with a Bessel bridge | 2007 | G. Campolieti and R. Makarov | Computational Finance |
| 5. On properties of analytically solvable families of local volatility diffusion models | 2006 | G. Campolieti and R. Makarov | Computational Finance |
| 6. Parallel lattice implementation for option pricing under mixed state-dependent volatility models | 2005 | G. Campolieti and R. Makarov | Computational Finance |