Junike, Gero; Schoutens, Wim; Stier, Hauke Performance of advanced stock price models when it becomes exotic: an empirical study. (English) Zbl 1512.91145 Ann. Finance 18, No. 1, 109-119 (2022). MSC: 91G20 60G51 91G60 65C05 PDFBibTeX XMLCite \textit{G. Junike} et al., Ann. Finance 18, No. 1, 109--119 (2022; Zbl 1512.91145) Full Text: DOI
Linders, Daniël; Schoutens, Wim Basket option pricing and implied correlation in a one-factor Lévy model. (English) Zbl 1398.91605 Glau, Kathrin (ed.) et al., Innovations in derivatives markets. Fixed income modeling, valuation adjustments, risk management, and regulation. Proceedings of the conference, Munich, Germany, March 30 – April 1, 2015. Cham: Springer Open (ISBN 978-3-319-33445-5/hbk; 978-3-319-33446-2/ebook). Springer Proceedings in Mathematics & Statistics 165, 335-367 (2016). MSC: 91G20 60G51 PDFBibTeX XMLCite \textit{D. Linders} and \textit{W. Schoutens}, Springer Proc. Math. Stat. 165, 335--367 (2016; Zbl 1398.91605) Full Text: DOI
Guillaume, Florence; Schoutens, Wim A bootstrapping market implied moment matching calibration for models with time-dependent parameters. (English) Zbl 1319.91157 J. Comput. Appl. Math. 271, 100-116 (2014). MSC: 91G60 91G20 60G51 60J10 62P05 PDFBibTeX XMLCite \textit{F. Guillaume} and \textit{W. Schoutens}, J. Comput. Appl. Math. 271, 100--116 (2014; Zbl 1319.91157) Full Text: DOI
Guillaume, Florence; Schoutens, Wim A moment matching market implied calibration. (English) Zbl 1281.91183 Quant. Finance 13, No. 9, 1359-1373 (2013). MSC: 91G60 91G20 60G51 PDFBibTeX XMLCite \textit{F. Guillaume} and \textit{W. Schoutens}, Quant. Finance 13, No. 9, 1359--1373 (2013; Zbl 1281.91183) Full Text: DOI
Ferreiro-Castilla, Albert; Schoutens, Wim The \(\beta\)-Meixner model. (English) Zbl 1237.91215 J. Comput. Appl. Math. 236, No. 9, 2466-2476 (2012). MSC: 91G20 60G51 PDFBibTeX XMLCite \textit{A. Ferreiro-Castilla} and \textit{W. Schoutens}, J. Comput. Appl. Math. 236, No. 9, 2466--2476 (2012; Zbl 1237.91215) Full Text: DOI
Vanduffel, Steven; Chernih, Andrew; Maj, Matheusz; Schoutens, Wim A note on the suboptimality of path-dependent pay-offs in Lévy markets. (English) Zbl 1179.91085 Appl. Math. Finance 16, No. 3-4, 315-330 (2009). MSC: 91B25 91G80 60G51 PDFBibTeX XMLCite \textit{S. Vanduffel} et al., Appl. Math. Finance 16, No. 3--4, 315--330 (2009; Zbl 1179.91085) Full Text: DOI
Guillaume, Florence; Jacobs, Philippe; Schoutens, Wim Pricing and hedging of CDO-squared tranches by using a one factor Lévy model. (English) Zbl 1175.91179 Int. J. Theor. Appl. Finance 12, No. 5, 663-685 (2009). MSC: 91G20 91G80 91B25 60G51 PDFBibTeX XMLCite \textit{F. Guillaume} et al., Int. J. Theor. Appl. Finance 12, No. 5, 663--685 (2009; Zbl 1175.91179) Full Text: DOI
Schoutens, Wim; Cariboni, Jessica Lévy processes in credit risk. (English) Zbl 1192.91008 Chichester: John Wiley & Sons (ISBN 978-0-470-74306-5/hbk). xiii, 185 p. (2009). Reviewer: Christian-Oliver Ewald (Sydney) MSC: 91-02 91G40 60G51 91G80 91G20 PDFBibTeX XMLCite \textit{W. Schoutens} and \textit{J. Cariboni}, Lévy processes in credit risk. Chichester: John Wiley \& Sons (2009; Zbl 1192.91008)
Albrecher, Hansjörg; Ladoucette, Sophie A.; Schoutens, Wim A generic one-factor Lévy model for pricing synthetic CDOs. (English) Zbl 1154.91421 Fu, Michael C. (ed.) et al., Advances in mathematical finance. Papers presented at the ‘Mathematical finance conference in honor of the 60th birthday of Dilip B. Madan’, College Park, MD, USA, September 29 – October 1, 2006. Boston, MA: Birkhäuser (ISBN 978-0-8176-4544-1/hbk). Applied and Numerical Harmonic Analysis, 259-277 (2007). MSC: 91G40 91B30 60G51 PDFBibTeX XMLCite \textit{H. Albrecher} et al., in: Advances in mathematical finance. Papers presented at the `Mathematical finance conference in honor of the 60th birthday of Dilip B. Madan', College Park, MD, USA, September 29 -- October 1, 2006. Boston, MA: Birkhäuser. 259--277 (2007; Zbl 1154.91421)
Luciano, Elisa; Schoutens, Wim A multivariate jump-driven financial asset model. (English) Zbl 1134.91446 Quant. Finance 6, No. 5, 385-402 (2006). MSC: 91G20 60G51 60J75 PDFBibTeX XMLCite \textit{E. Luciano} and \textit{W. Schoutens}, Quant. Finance 6, No. 5, 385--402 (2006; Zbl 1134.91446) Full Text: DOI Link
Schoutens, Wim; Symens, Stijn The pricing of exotic options by Monte-Carlo simulationsin a Lévy market with stochastic volatility. (English) Zbl 1079.91042 Int. J. Theor. Appl. Finance 6, No. 8, 839-864 (2003). MSC: 91G60 91G20 60G51 PDFBibTeX XMLCite \textit{W. Schoutens} and \textit{S. Symens}, Int. J. Theor. Appl. Finance 6, No. 8, 839--864 (2003; Zbl 1079.91042) Full Text: DOI
Morales, Manuel; Schoutens, Wim A risk model driven by Lévy processes. (English) Zbl 1051.60051 Appl. Stoch. Models Bus. Ind. 19, No. 2, 147-167 (2003). Reviewer: N. M. Zinchenko (Kyïv) MSC: 60G51 62P05 91B30 PDFBibTeX XMLCite \textit{M. Morales} and \textit{W. Schoutens}, Appl. Stoch. Models Bus. Ind. 19, No. 2, 147--167 (2003; Zbl 1051.60051) Full Text: DOI
Nualart, David; Schoutens, Wim Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance. (English) Zbl 0991.60045 Bernoulli 7, No. 5, 761-776 (2001). Reviewer: Gheorghe Stoica (Saint John) MSC: 60H10 91B24 60G51 PDFBibTeX XMLCite \textit{D. Nualart} and \textit{W. Schoutens}, Bernoulli 7, No. 5, 761--776 (2001; Zbl 0991.60045) Full Text: DOI
Schoutens, Wim Lévy-Sheffer and iid-Sheffer polynomials with applications to stochastic integrals. (English) Zbl 0929.60028 J. Comput. Appl. Math. 99, No. 1-2, 365-372 (1998). MSC: 60G42 60G51 60H05 11B83 33C45 PDFBibTeX XMLCite \textit{W. Schoutens}, J. Comput. Appl. Math. 99, No. 1--2, 365--372 (1998; Zbl 0929.60028) Full Text: DOI