Long Teng
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A versatile approach for stochastic correlation using hyperbolic functions
L Teng, C Van Emmerich, M Ehrhardt, M Günther
International Journal of Computer Mathematics 93 (3), 524-539, 2016
302016
Modelling stochastic correlation
L Teng, M Ehrhardt, M Günther
Journal of Mathematics in Industry 6 (1), 1-18, 2016
282016
On the Heston model with stochastic correlation
L Teng, M Ehrhardt, M Günther
International Journal of Theoretical and Applied Finance 19 (06), 1650033, 2016
212016
The pricing of Quanto options under dynamic correlation
L Teng, M Ehrhardt, M Günther
Journal of Computational and Applied Mathematics 275, 304-310, 2015
202015
The dynamic correlation model and its application to the Heston model
L Teng, M Ehrhardt, M Günther
Innovations in Derivatives Markets, 437-449, 2016
172016
Numerical Simulation of the Heston Model under stochastic correlation
L Teng, M Ehrhardt, M Günther
International Journal of Financial Studies 6 (1), 3, 2018
82018
Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
L Teng, M Ehrhardt, M Günther
International Journal of Theoretical and Applied Finance 16 (07), 1350040, 2013
72013
A multi-step scheme based on cubic spline for solving backward stochastic differential equations
L Teng, A Lapitckii, M Günther
Applied Numerical Mathematics 150, 117-138, 2020
52020
A review of tree-based approaches to solve forward-backward stochastic differential equations
L Teng
arXiv preprint arXiv:1809.00325, 2018
52018
Quanto pricing in stochastic correlation models
L Teng, M Ehrhardt, M Günther
International Journal of Theoretical and Applied Finance 21 (05), 1850038, 2018
42018
Numerical evaluation of complex logarithms in the Cox–Ingersoll–Ross model
L Teng, M Ehrhardt, M Günther
International Journal of Computer Mathematics 90 (5), 1083-1095, 2013
42013
Option pricing with dynamically correlated stochastic interest rate
L Teng, M Ehrhardt, M Günther
Acta Mathematica Universitatis Comenianae 84 (2), 179-190, 2015
22015
A new methodology to create valid time-dependent correlation matrices via isospectral flows
L Teng, X Wu, M Günther, M Ehrhardt
ESAIM: Mathematical Modelling and Numerical Analysis 54 (2), 361-371, 2020
12020
Modelling of Credit Risk and Correlation Risk: Time-Dependent and Stochastic Correlation Models
L Teng
Universität Wuppertal, Fakultät für Mathematik und Naturwissenschaften …, 2018
12018
Multistep schemes for solving backward stochastic differential equations on GPU
L Kapllani, L Teng
arXiv preprint arXiv:1909.13560, 2019
2019
Accelerated implementation of the ADI schemes for the Heston model with stochastic correlation
L Teng, A Clevenhaus
Journal of Computational Science 36, 101022, 2019
2019
A Multistep Scheme to solve Backward Stochastic Differential Equations for Option Pricing on GPUs
L Kapllani, L Teng, M Ehrhardt
2019
Modelling and Calibration of Stochastic Correlation in Finance
L Teng, M Ehrhardt, M Günther
Novel Methods in Computational Finance, 83-105, 2017
2017
Quanto Pricing in Stochastic Correlation Models
L Teng, M Ehrhardt, M Günther
2016
Option Pricing with dynamically correlated Stochastic Interest Rate
L Teng, M Ehrhardt, M Günther
2014
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