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知网期刊论文(1)
在“
Elsevier电子期刊
”中,
命中:
7
条,耗时:小于0.01 秒
在所有数据库中总计命中:
3
条
1.
A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate
作者:
Luca Vincenzo Ballestra
;
Graziella
Pacelli
关键词:
Barrier option
;
Time-dependent barrier
;
Boundary element method
;
Volterra integral equation
刊名:Applied Numerical Mathematics
出版年:March, 2014
2.
An operator splitting harmonic differential quadrature approach to solve Young¡¯s model for life insurance risk
作者:
Luca Vincenzo Ballestra
;
Massimiliano Ottaviani
;
Graziella
Pacelli
关键词:
Young&rsquo
;
s model
;
Life insurance
;
Harmonic differential quadrature
刊名:Insurance: Mathematics and Economics
出版年:2012
3.
A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications
作者:
Luca Vincenzo Ballestra
;
Graziella
Pacelli
关键词:
Meshless method
;
Radial basis function
;
RBF
;
Two-dimensional jump-diffusion
;
Fokker&ndash
;
Planck
;
First-passage probability
刊名:Engineering Analysis with Boundary Elements
出版年:2012
4.
On a variational formulation used in credit risk modeling
作者:
Graziella
Pacelli
;
Luca Vincenzo Ballestra
关键词:
Credit risk
;
Integral equation
;
First-passage model
刊名:Finance Research Letters
出版年:2010
5.
A numerical method to price European derivatives based on the one factor LIBOR Market Model of interest rates
作者:
Luca Vincenzo Ballestra
;
Graziella
Pacelli
;
Francesco Zirilli
关键词:
Fokker–
;
Planck equation
;
Asymptotic expansion
;
LIBOR Market Model
;
Interest rate derivatives
刊名:Nonlinear Analysis: Hybrid Systems
出版年:2008
6.
A method for computing the transition probability density associated with a multifactor Cox–Ingersoll–Ross model of the term structure of interest rates with no drift term
作者:
Lorella Fatone
;
Graziella
Pacelli
;
Maria Cristina Recchioni
;
Francesco Zirilli
关键词:
Interest rates mathematical models
;
High dimensional parabolic partial differential equations
;
Numerical algorithms
刊名:Nonlinear Analysis: Hybrid Systems
出版年:2008
7.
A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model
作者:
Luca Vincenzo Ballestra
;
Graziella
Pacelli
;
Francesco Zirilli
关键词:
Stochastic volatility
;
Heston model
;
Path-dependent options
;
Monte Carlo integration
刊名:Journal of Banking and Finance
出版年:2007
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