Pages that link to "Item:Q744007"

The following pages link to Large deviations and asymptotic methods in finance (Q744007):

Displaying 33 items.

• Sample-path large deviations in credit risk (Q410789) (← links)
• Intrinsic Taylor formula for Kolmogorov-type homogeneous groups (Q898831) (← links)
• Asymptotic arbitrage and large deviations (Q941014) (← links)
• Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness (Q2048130) (← links)
• Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate (Q2107407) (← links)
• Large and moderate deviations for stochastic Volterra systems (Q2137754) (← links)
• Weak approximation of SDEs for tempered distributions and applications (Q2165018) (← links)
• Precise asymptotics: robust stochastic volatility models (Q2240838) (← links)
• Asymptotic results for the Fourier estimator of the integrated quarticity (Q2292050) (← links)
• Asymptotic expansion for some local volatility models arising in finance (Q2292052) (← links)
• Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs (Q2326984) (← links)
• A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition (Q2674299) (← links)
• Analytical Approximation of Variable Annuities for Small Volatility and Small Withdrawal (Q2967980) (← links)
• The instanton method and its numerical implementation in fluid mechanics (Q3448391) (← links)
• Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$-Sabr Model (Q4560329) (← links)
• Asymptotic Expansion Approach in Finance (Q4560338) (← links)
• Pathwise large deviations for the rough Bergomi model (Q4611271) (← links)
• Asymptotic expansions of solutions of stochastic differential equations driven by multivariate fractional Brownian motions having Hurst indices greater than 1/3 (Q4634144) (← links)
• EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL (Q4634643) (← links)
• Operator splitting around Euler–Maruyama scheme and high order discretization of heat kernels (Q4958839) (← links)
• EFFECTIVE ASYMPTOTICS ANALYSIS FOR FINANCE (Q5114683) (← links)
• Exponentiation of conditional expectations under stochastic volatility (Q5215433) (← links)
• Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes (Q6053111) (← links)
• Reconstructing volatility: Pricing of index options under rough volatility (Q6054443) (← links)
• Scalable methods for computing sharp extreme event probabilities in infinite-dimensional stochastic systems (Q6089193) (← links)
• A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus (Q6106934) (← links)
• A partial rough path space for rough volatility (Q6126968) (← links)
• Deep Weak Approximation of SDEs: A Spatial Approximation Scheme for Solving Kolmogorov Equations (Q6173002) (← links)
• Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus (Q6176082) (← links)
• Local volatility under rough volatility (Q6187367) (← links)
• The log‐moment formula for implied volatility (Q6187368) (← links)
• Estimation of Leverage Effect: Kernel Function and Efficiency (Q6190703) (← links)
• A novel term-structure-based Heston model for implied volatility surface (Q6590577) (← links)