1 citations · 1 across the 2 of their papers we have counts for
4 papers
Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing
Damir Filipović, Kathrin Glau, Yuji Nakatsukasa +1
We propose a methodology for computing single and multi-asset European option prices, and more generally expectations of scalar functions of (multivariate) random variables. This n…
Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing
Kathrin Glau, Daniel Kressner, Francesco Statti
Treating high dimensionality is one of the main challenges in the development of computational methods for solving problems arising in finance, where tasks such as pricing, calibra…
Unspanned Stochastic Volatility in the Multi-factor CIR Model
Damir Filipović, Martin Larsson, Francesco Statti
Empirical evidence suggests that fixed income markets exhibit unspanned stochastic volatility (USV), that is, that one cannot fully hedge volatility risk solely using a portfolio o…
Incremental computation of block triangular matrix exponentials with application to option pricing
Daniel Kressner, Robert Luce, Francesco Statti
We study the problem of computing the matrix exponential of a block triangular matrix in a peculiar way: Block column by block column, from left to right. The need for such an eval…