Ajou University repository

Browsing "Department of Financial Engineering" by Issue Date :

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Showing results 1 to 20 of 35

Option Pricing and Local Volatility Surface by Physics-Informed Neural Network
  • 2024-11-01
  • Computational Economics, Vol.64, pp.3143-3159
  • Springer
Integrating Factor Models Using Bayesian Model Averaging: Evidence from Korea
  • 2024-10-01
  • Korean Journal of Financial Studies, Vol.53, pp.555-591
  • Korean Securities Association
Endogenous Credit, Business Cycle, and Portfolio Selection
  • Choi, Kyoung Jin;
  • Koo, Hyeng Keun;
  • Lim, Byung Hwa;
  • Yoo, Jane
  • 2024-05-01
  • Operations Research, Vol.72, pp.871-884
  • INFORMS Inst.for Operations Res.and the Management Sciences
Variance and volatility swaps and options under the exponential fractional Ornstein–Uhlenbeck model
  • 2024-05-01
  • North American Journal of Economics and Finance, Vol.72
  • Elsevier Inc.
On the Interactions of Flocking Particles with the Stokes Flow in an Infinite Channel
  • 2024-05-01
  • Journal of Mathematical Fluid Mechanics, Vol.26
  • Birkhauser
Considering Appropriate Input Features of Neural Network to Calibrate Option Pricing Models
  • 2024-01-01
  • Computational Economics
  • Springer
Physics-informed convolutional transformer for predicting volatility surfaceoa mark
  • 2024-01-01
  • Quantitative Finance, Vol.24, pp.203-220
  • Routledge
Deep learning of optimal exercise boundaries for American options
  • 2024-01-01
  • International Journal of Computer Mathematics
  • Taylor and Francis Ltd.
Asymptotic profile for the interaction of a rigid ball and an incompressible viscous fluid
  • 2023-12-15
  • Journal of Differential Equations, Vol.376, pp.682-713
  • Academic Press Inc.
A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model
  • 2023-09-01
  • Computational and Applied Mathematics, Vol.42
  • Springer Nature
Compactness Lemma for sequences of divergence free Bochner measurable functions
  • 2023-07-01
  • Nonlinear Analysis, Theory, Methods and Applications, Vol.232
  • Elsevier Ltd
Who has an edge in trading index derivatives?
  • 2023-03-01
  • Journal of Futures Markets, Vol.43, pp.325-348
  • John Wiley and Sons Inc
SUFFICIENT CONDITIONS FOR ASYMPTOTIC PHASE-LOCKING TO THE GENERALIZED KURAMOTO MODELoa mark
  • 2023-02-01
  • Kinetic and Related Models, Vol.16, pp.97-132
  • American Institute of Mathematical Sciences
Welfare Aspects of Estate and Gift Taxes in Life Cycle Economies
  • 2023-01-01
  • Korean Economic Review, Vol.39, pp.381-411
  • Korean Economic Association
Effect Of Time Delay On Flocking Dynamicsoa mark
  • 2022-10-01
  • Networks and Heterogeneous Media, Vol.17, pp.803-825
  • American Institute of Mathematical Sciences
Boundary Regularity for the Steady Generalized Newtonian Flow with Shear Thickening Viscosity
  • 2022-05-01
  • Journal of Mathematical Fluid Mechanics, Vol.24
  • Birkhauser
TIME STEPWISE LOCAL VOLATILITY
  • 2022-03-31
  • Bulletin of the Korean Mathematical Society, Vol.59, pp.507-528
  • Korean Mathematical Society
A constrained consensus based optimization algorithm and its application to financeoa mark
  • 2022-03-01
  • Applied Mathematics and Computation, Vol.416
  • Elsevier Inc.
Time-delayed stochastic volatility model
  • 2022-02-01
  • Physica D: Nonlinear Phenomena, Vol.430
  • Elsevier B.V.
What Drives Stock Market Underreaction to Liquidity Shocks? Evidence from Korea*
  • 2022-02-01
  • Asia-Pacific Journal of Financial Studies, Vol.51, pp.44-80
  • John Wiley and Sons Inc
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