A chaos expansion approach for the pricing of contingent claims

The Journal of Computational Finance ◽

10.21314/jcf.2015.299 ◽

2015 ◽

Vol 18 (3) ◽

pp. 27-58 ◽

Author(s):

Hideharu Funahashi ◽

Masaaki Kijima

Keyword(s):

Contingent Claims ◽

Chaos Expansion

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UNCERTAINTY QUANTIFICATION FOR NATURAL CONVECTION IN RANDOM POROUS MEDIA WITH INTRUSIVE POLYNOMIAL CHAOS EXPANSION

Journal of Porous Media ◽

10.1615/jpormedia.2020033288 ◽

2020 ◽

Vol 23 (7) ◽

pp. 641-661

Author(s):

Changwei Jiang ◽

Yi Jiang ◽

Er Shi

Keyword(s):

Porous Media ◽

Natural Convection ◽

Uncertainty Quantification ◽

Polynomial Chaos ◽

Polynomial Chaos Expansion ◽

Chaos Expansion ◽

Random Porous Media

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Uncertainty Quantification of Transonic Nozzle Flow by Polynomial Chaos Expansion

JOURNAL OF THE JAPAN SOCIETY FOR AERONAUTICAL AND SPACE SCIENCES ◽

10.2322/jjsass.65.151 ◽

2017 ◽

Vol 65 (4) ◽

pp. 151-156

Author(s):

Koji MIYAJI ◽

Tota UENO ◽

Yasumi KAWAMURA

Keyword(s):

Uncertainty Quantification ◽

Polynomial Chaos ◽

Polynomial Chaos Expansion ◽

Nozzle Flow ◽

Chaos Expansion

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Repeated Career Options: A Contingent Claims Approach

SSRN Electronic Journal ◽

10.2139/ssrn.1003659 ◽

2007 ◽

Author(s):

Jonathan Treussard

Keyword(s):

Contingent Claims ◽

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The Pricing of Interest Rate Contingent Claims

SSRN Electronic Journal ◽

10.2139/ssrn.1482911 ◽

1998 ◽

Author(s):

Claus Anderskov Madsen

Keyword(s):

Interest Rate ◽

Contingent Claims

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Asymptotic Synthesis of Contingent Claims in a Sequence of Discrete-Time Markets

SSRN Electronic Journal ◽

10.2139/ssrn.3402645 ◽

2019 ◽

Author(s):

David M. Kreps ◽

W. Schachermayer

Keyword(s):

Discrete Time ◽

Contingent Claims

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Real Options, Ambiguity, and Dynamic Consistency - A Comment on 'ambiguity Aversion in Buyer-Seller Relationships: A Contingent-Claims and Social Network Explanation'

SSRN Electronic Journal ◽

10.2139/ssrn.3552142 ◽

2020 ◽

Author(s):

David Schroeder

Keyword(s):

Social Network ◽

Real Options ◽

Ambiguity Aversion ◽

Contingent Claims ◽

Dynamic Consistency

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Hedging Contingent Claims with Constrained Portfolios and Nonlinear Wealth Dynamics

SSRN Electronic Journal ◽

10.2139/ssrn.981016 ◽

2007 ◽

Author(s):

Dirk Ebmeyer

Keyword(s):

Contingent Claims

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PARAMETER ESTIMATION OF A DISTRIBUTED HYDROLOGICAL MODEL FOR THE IBO RIVER BASIN WITH POLYNOMIAL CHAOS EXPANSION

Journal of Japan Society of Civil Engineers Ser B1 (Hydraulic Engineering) ◽

10.2208/jscejhe.75.2_i_247 ◽

2019 ◽

Vol 75 (2) ◽

pp. I_247-I_252

Author(s):

Putika Ashfar KHOIRI ◽

Masayasu IRIE ◽

Hiroaki TOI ◽

Masahide ISHIZUKA

Keyword(s):

Parameter Estimation ◽

River Basin ◽

Polynomial Chaos ◽

Hydrological Model ◽

Polynomial Chaos Expansion ◽

Chaos Expansion ◽

Distributed Hydrological Model

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Prices for State-Contingent Claims: Some Estimates and Applications

The Journal of Business ◽

10.1086/296026 ◽

1978 ◽

Vol 51 (4) ◽

pp. 653 ◽

Author(s):

Rolf W. Banz ◽

Merton H. Miller

Keyword(s):

Contingent Claims

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Polynomial chaos expansion as a tool to quantify the quality of compact range antenna test chambers under uncertainty

Loughborough Antennas & Propagation Conference 2018 (LAPC 2018) ◽

10.1049/cp.2018.1490 ◽

2018 ◽

Author(s):

R. Wilke ◽

T.M. Gemmer ◽

D. Heberling

Keyword(s):

Polynomial Chaos ◽

Polynomial Chaos Expansion ◽

Chaos Expansion ◽

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