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'Modelling': [569, 908, 1376], 'With': [570], 'CRC': [575], 'Press': [576], 'UK,': [577], 'London.': [578, 1445, 1778], '(2004b)': [584], 'Non-Parametric': [585], 'Calibration': [586, 934, 976, 1643, 1846, 1978], '7(3),': [596, 685], '49.': [598], 'Rama,': [600], 'Ekaterina': [604, 1863], 'Voltchkova': [605, 1864], 'Hedging': [607, 799, 1022, 1678, 1927, 1980], 'with': [608, 612, 959, 1061, 1236, 1239, 1455, 1945, 1972], 'Models': [611, 1060, 1843], 'Jumps,': [613], 'Applications—the': [618], 'Abel': [619], 'Symposium': [620], '2005,': [621], 'Cooley,': [625], 'Tukey': [629], '(1965)': [630], 'Machine': [635], 'Calculation': [636], 'Complex': [638, 1772, 1887], 'Mathematics': [641, 778, 869, 962, 1962], 'Computation,': [643, 790], '19(90),': [644], '297–': [645], '301.': [646], 'Cox,': [647, 668], 'John,': [648, 669], 'Jonathan': [649], 'Ingersoll': [650], 'Stephen': [652, 670], 'Ross': [653, 671], '(1985)': [654], 'Term': [659, 720, 893, 1212], 'Structure': [660, 721, 894, 1213], 'Rates,': [663, 1588], 'Econometrica,': [664, 842, 1224], '53(2),': [665], '385–': [666], '407.': [667], 'Rubinstein': [674], '(1979)': [675, 1144], 'Pricing:': [677], 'Simplified': [679], '229–': [686, 1330], '263.': [687], 'Crépey,': [688], 'Stéphane': [689], 'Tikhonov': [691], 'Regularization,': [692], '1807–': [708], '1811.': [709], 'Dai,': [710], 'Qiang': [711], 'Kenneth': [713, 831, 849], 'Singleton': [714, 832, 850], 'Specification': [716], '55(5),': [726], '1943–': [727], '1978.': [728], 'Delbaen,': [729, 750, 771], 'Freddy': [730, 751, 772], 'Walter': [732, 753, 774, 1768], 'Schachermayer': [733, 754, 775], '(1994)': [734], 'General': [736, 1262, 1478], 'Version': [737], 'Fundamental': [740, 757], 'Theorem': [741, 758], 'Mathematische': [745, 766], 'Annalen,': [746, 767], '300,': [747], '463–': [748], '520.': [749], '(1998)': [755], 'Unbounded': [763], '312,': [768], '215–': [769, 1181], '250.': [770], 'Arbitrage,': [780], 'Detemple,': [784], 'Jerome': [785], 'American-Style': [787, 1888, 1928], 'Derivatives—Valuation': [788], 'Chapman': [791, 1442], 'Hall/CRC,': [793], 'Boca': [794, 1385], 'Raton.': [795, 1386], 'Detlefsen,': [796], 'Kai': [797], '(2005)': [798, 868, 881, 1334, 1504, 1653, 1723], 'Exotic': [800, 818], "Master's": [809], 'Thesis,': [810, 1265, 1663, 1759, 1828, 1853], 'Humboldt-University': [811], 'de': [814], 'Weert,': [815], 'Frans': [816], 'Trading,': [820, 1174], 'Duffie,': [826, 846], 'Darrell,': [827], 'Jun': [828], 'Pan': [829], 'Jump-Diffusions,': [841], '68(6),': [843], '1343–': [844], '1376.': [845], 'Darrell': [847], '(2003)': [851, 1638], 'Credit': [852], 'Risk—Pricing,': [853], 'Measurement': [854], 'Princeton': [857], 'Princeton,': [860], 'Elliot,': [863], 'Ekkehard': [866], 'Kopp': [867], 'Markets,': [872, 1151], 'Fengler,': [879], 'Matthias': [880], 'Semi-Parametric': [882], 'Modeling': [883, 1344, 1505], 'Implied': [885, 975], 'Filipović,': [890], 'Damir': [891], 'Models—A': [895], 'Graduate': [896], 'Course,': [897], 'Dordrecht.': [900], 'Fletcher,': [901], 'Shayner': [902], 'Christopher': [904], 'Gardener': [905], 'Python,': [910, 1456], 'Frey,': [916], 'Rüdiger': [917], 'Market': [919, 1346], 'Illiquidity': [920], 'Source': [923], 'Model': [925, 931], 'Dynamic': [928, 1257], 'Hedging,': [929, 1258], 'Risk:': [932], 'Concepts,': [933], 'Rajna': [937], 'Gibson': [938], '(ed.),': [939], 'Publications,': [941], 'London,': [942, 990, 1502], '125–': [943, 1631], '136.': [944], 'Fries,': [945], 'Foresight': [948], 'Bias': [949], 'Suboptimality': [951], 'Correction': [952], 'Early': [960], 'Exercise,': [961], 'Industry,': [964], '12,': [965, 1895], '645–': [966], '649.': [967], 'Galluccio,': [968], 'Stefano': [969], 'Yann': [971], 'Le': [972], 'Cam': [973], 'Moments': [978], 'Asymptotics': [979], 'BNP': [988], 'Paribas,': [989], 'Gatheral,': [992], 'Jim': [993], 'Surface—A': [997], 'Practitioner’s': [998, 1869], 'Guide,': [999, 1870], 'Gilbert,': [1007], 'Charles,': [1008], 'K.': [1009], 'Ravindran': [1010], 'Reitano': [1013], 'Results': [1015], 'Survey': [1018], 'on': [1019, 1412, 1452, 1754, 1892], 'Variable': [1020], 'Annuity': [1021], 'Programs': [1023], 'Life': [1025], 'Insurance': [1026], 'Companies,': [1027], 'Report,': [1028], 'Society': [1029], 'Actuaries,': [1031], 'www.soa.org.': [1032], 'Glasserman,': [1033], 'Paul': [1034], 'Engineering,': [1041], 'Grzelak,': [1046], 'Lech,': [1047], 'Cornelis': [1048], 'Oosterlee': [1049], 'Sacha': [1051], 'van': [1052, 1545], 'Weeren': [1053], '(2012)': [1054, 1566], 'Extension': [1055], 'Equity': [1059], 'Hull-White': [1062], 'Process,': [1065], '89–': [1069], '105.': [1070, 1227], 'Haastrecht,': [1071], 'Alexander': [1072], 'Antoon': [1074], 'Pelsser': [1075], 'Efficient,': [1077], 'Almost': [1078], 'International': [1087, 1774], 'Theoretical': [1090], 'Applied': [1092, 1439], '13(1),': [1094], '43.': [1096], 'Haenel,': [1097], 'Valentin,': [1098], 'Emmanuelle': [1099], 'Gouillart': [1100], 'Gaël': [1102], 'Varoquaux': [1103], '(2013)': [1104, 1286], 'Python': [1105, 1273, 1463, 1567], 'Scientific': [1106, 1453], 'Lecture': [1107], 'Notes,': [1108], 'http://scipy-lectures.github.com.': [1109], 'Hansen,': [1110], 'Lars': [1111, 1813], 'Eric': [1113], 'Renault': [1114], 'Kernels': [1117], 'Discount': [1120], 'Factors,': [1121], '1418–': [1137], '1427.': [1138], 'Harrison,': [1139, 1159], 'Michael': [1140, 1160, 1408], 'Kreps': [1143], 'Martingales': [1145, 1165], 'Multiperiod': [1149], 'Securities': [1150], 'Economic': [1154, 1327, 1391, 1681], '20,': [1156], '381–': [1157], '408.': [1158], 'Stanley': [1162, 1691], 'Pliska': [1163], '(1981)': [1164], 'Integrals': [1168], 'their': [1178, 1716], 'Applications,': [1179, 1717, 1826], '11,': [1180], '260.': [1182], 'Haugh,': [1183], 'Leonid': [1186], 'Kogan': [1187], 'Duality': [1193], '52(2),': [1197], '258–': [1198], '270.': [1199], 'Heath,': [1200], 'David,': [1201], 'Morton': [1206], '(1992)': [1207], 'Bond': [1208, 1242], 'Rates:': [1216], 'Methodology': [1219], 'Contingent': [1221], 'Claims': [1222], '60(1),': [1225], '77–': [1226], 'Heston,': [1228], 'Steven': [1229], '(1993)': [1230], 'Closed-Form': [1232], 'Solution': [1233], 'Applications': [1240], 'Currency': [1244], '6(2),': [1251], '327–': [1252], '343.': [1253], 'Positive': [1259], 'Feedback,': [1260], 'Equilibrium,': [1263], 'Dissertation': [1264, 1827, 1852], 'Saarland': [1266, 1403], 'Saarbruecken,': [1268, 1405], 'www.hilpisch.com.': [1269], 'Finance—Analyze': [1275], 'Big': [1276], 'Data,': [1278], 'O’Reilly,': [1279, 1571], 'Beijing.': [1280, 1572], 'Hull,': [1281], 'Alan': [1284, 1471], 'White': [1285], 'LIBOR': [1287], 'vs.': [1288], 'OIS:': [1289], 'Derivatives': [1291, 1506, 1970], 'Discounting': [1292], 'Dilemma,': [1293], 'Investment': [1296], '14–': [1299], '27.': [1300], 'Jarrow,': [1301, 1332], 'In': [1304], 'Honor': [1305], 'Nobel': [1308], 'Laureates': [1309], 'C.': [1311], 'Merton': [1312], 'S.': [1315], 'Scholes:': [1316], 'Partial': [1318, 1706], 'Differential': [1319], 'Equation': [1320], 'that': [1321], 'Changed': [1322], 'World,': [1324], 'Perspectives,': [1328], '13(4),': [1329, 1938], '248.': [1331], 'Classical': [1338], 'Risk,': [1348], 'P.': [1349], 'Neu': [1350], 'L.': [1352], 'Matz': [1353], 'Singapore.': [1359], 'Kahale,': [1360], 'Nabil': [1361], 'Arbitrage-Free': [1364], 'Interpolation': [1365], 'Volatilities,': [1367], 'Magazine,': [1369, 1468, 1648, 1808, 1916], '17(May),': [1370], '102–': [1371], '106.': [1372], 'Kahl,': [1373], 'Dissertation.com,': [1384], 'Klössner,': [1387], 'Stefan': [1388], 'Grasping': [1390], 'Sparse': [1394], 'Sampling': [1395], 'Using': [1396], 'Intradaily': [1397], 'Highs': [1398], 'Lows,': [1400], 'http://econ.duke.edu/brossi/NBERNSF/Klossner.pdf.': [1406], 'Kohler,': [1407], 'Regression-based': [1413], 'Technical': [1423], 'Darmstadt,': [1426, 1427], 'www.mathematik.tu-darmstadt.de.': [1428], 'Lamberton,': [1429], 'Bernard': [1432], 'Lapeyre': [1433], 'Calculus': [1438], 'Hall,': [1444], 'Langtangen,': [1446], 'Hans': [1447], 'Petter': [1448], 'Primer': [1451], 'Programming': [1454], 'Lee,': [1460], 'Eileen': [1461], 'takes': [1464], 'Bite,': [1466], 'WILMOTT': [1467, 1647, 1915], 'March.': [1469], 'Lewis,': [1470], 'Formula': [1476], 'Exponential': [1482], 'Lévy': [1483], 'OptionCity,': [1487], 'www.optioncity.net.': [1488], 'Liberti,': [1489], 'Leo': [1490], 'Global': [1494], 'Optimization,': [1495], 'École': [1498], 'Polytechnique,': [1499], 'Palaiseau,': [1500], 'www.lix.polytechnique.fr.': [1501], 'Justin': [1503], 'C++,': [1508], 'Longstaff,': [1516], 'Francis': [1517], 'Eduardo': [1519], 'Schwartz': [1520], 'Valuing': [1522], 'Simulation:': [1526], '14(1),': [1536], '113–': [1537], '147.': [1538], 'Lord,': [1539], 'Roger,': [1540], 'Remmert': [1541], 'Koekkoek': [1542], 'Dick': [1544], 'Dijk': [1546], 'Comparison': [1549], 'Biased': [1551], 'Schemes': [1553], 'Erasmus': [1560], 'Rotterdam,': [1562], 'McKinney,': [1564], 'Wes': [1565], 'Data': [1569, 1974], 'Analysis,': [1570, 1773, 1975], 'Medvedev,': [1573], 'Alexey': [1574], 'Under': [1582], '98,': [1593], '145–': [1594], '159.': [1595], 'Merton,': [1596, 1614], 'Rational': [1601], 'Bell': [1604], 'Economics': [1607], 'Management': [1609], 'Science,': [1610], '4,': [1611], '141–': [1612], '183.': [1613], '(1976)': [1616], 'when': [1619], 'Underlying': [1621], 'Stock': [1622], 'Returns': [1623], 'are': [1624], 'Discontinuous,': [1625], '3(3),': [1630], '144.': [1632], 'Mikhailov,': [1633], 'Sergei': [1634], 'Ulrich': [1636], 'Nögel': [1637], 'Heston’s': [1639], 'Model—Implementation,': [1642], 'Some': [1645], 'Extensions,': [1646], 'July,': [1649], '74–79.': [1650], 'Moodley,': [1651], 'Nimalin': [1652], 'Model:': [1656], 'Practical': [1658], 'Approach—With': [1659], 'Matlab': [1660], 'Code,': [1661], "Bachelor's": [1662], 'Witwatersrand,': [1667, 1857], 'Johannesburg,': [1668, 1858], 'math.nyu.edu.': [1669], 'Nandi,': [1670], 'Saikat': [1671], 'Daniel': [1673], 'Waggoner': [1674], 'Issues': [1676], 'Positions,': [1680], 'Review,': [1682], '1st': [1683], 'Qu.,': [1684], 'Federal': [1685], 'Reserve': [1686], 'Bank': [1687], 'Atlanta.': [1689], 'Pliska,': [1690], 'Blackwell': [1697], 'Publishers,': [1698], 'Malden': [1699], 'Protter,': [1702, 1721], '91,': [1718], '169–': [1719], '203.': [1720], 'Integration': [1725], 'Differenatial': [1727], 'Equations,': [1728], '3rd': [1731], 'printing,': [1732], 'Rebonato,': [1736], 'Riccardo': [1737], 'Correlation,': [1741], 'Reinsberg,': [1749], 'Rene': [1750], 'DAX—An': [1756], 'Investigation,': [1758], 'WHU–Otto': [1760], 'Beisheim': [1761], 'School': [1762], 'Vallendar,': [1765], 'Rudin,': [1767], '(1970)': [1769], 'Real': [1770], 'Student': [1775], 'Edition,': [1776], 'Schmelzele,': [1779], 'Formulae': [1784], 'Transform:': [1787], 'Application,': [1790], 'www.pfadintegral.com.': [1793], 'Schoutens,': [1794], 'Wim,': [1795], 'Erwin': [1796], 'Simons': [1797], 'Jurgen': [1799], 'Tistaert': [1800], 'Perfect': 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'Calfisch': [1923], 'Simulation-based': [1932], '95–': [1939], '125.': [1940], 'Williams,': [1941], '(1991)': [1943], 'Martingales,': [1946], 'reprint': [1947], '2001,': [1948], 'Wilmott,': [1953], 'Paul,': [1954], 'Sam': [1955], 'Howison': [1956], 'Jeff': [1958], 'Dewynne': [1959], '(1995)': [1960], 'Analytics': [1971], 'Python:': [1973], 'Simulation,': [1977], 'ReferencesRelatedInformation': [1981]}, 'cited_by_api_url': 'https://api.openalex.org/works?filter=cites:W4236172262', 'counts_by_year': [], 'updated_date': '2024-12-15T17:57:00.553831', 'created_date': '2022-05-12'}