| 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
|
