[2025-09] A Generalized Approach for Pricing American Options under a Regime-switching model - Authors: Yawen Zheng and Song-Ping Zhu (IMA Journal of Management Mathematics, Volume 36, Issue 3)
[2024-11] Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms - Authors: Sarah Kaakai, Anis Matoussi and Achraf Tamtalini (SIAM Journal of Financial Mathematics Vol. 15, Issue 3)
[2024-07] Deep Signature Algorithm for Multidimensional Path-Dependent Options - Authors: Erhan Bayraktar, Qi Feng and Zhaoyu Zhang (SIAM Journal of Financial Mathematics Vol. 15, Issue 1)
[2023-11] Finite Difference Scheme versus Piecewise Binomial Lattice for Interest Rates under the Skew CEV - Authors: Olivier Menoukeu-Pamen, Guangli Xu and Xiaoyang Zhuo (Quantitative Finance, Vol. 23 Issue 5)
[2023-08] Deep Empirical Risk Minimization in Finance: Looking into the Future - Authors: Anders Max Reppen and Halil Mete Soner (Mathematical Finance, Vol. 33 Issue 1)
[2023-06] On the convergence scheme in the CRR model - Author: Tomasz Kostrzewa (Applicationes Mathematicae 49, no. 2)
[2021-12] Pricing American Options with the Runge-Kutta-Legendre finite difference scheme - Author: Fabien Le Floc'h (Int. J. Theor. Appl. Finance 24, no. 3)
[2021-09] An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models - Author: Kenichiro Shiraya (Int. J. Theor. Appl. Finance 23, no. 8)