In this issue of The Journal of Computational Finance, we encounter different contemporary approximations and techniques for financial problems.
By means of B-spline interpolation, this paper provides an accurate closed-form representation of the option price under an inverse Fourier transform.
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Time constraints can be binding for ‘heavy’ Monte Carlo calculations of risk analytics – value-at-risk, potential future exposure, credit valuation adjustment – in intraday risk monitoring, so fast approximations are sometimes preferred. Vladislav...
Quantization is applied to price vanilla and barrier options
Wujiang Lou shows the impact of funding costs on option valuation
Stochastic volatility model combining Heston vol model and CIR++
Spread option pricing: importance of forex risk factors illustrated
Prediction of arbitrage-free option prices that outperform existing models
Time for a timer
Hedge backtesting for model validation
Smile in the low moments
Rational shapes of local volatility