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Latest Issue
Volume 11 / Number 3
Simple and efficient simulation of the Heston stochastic volatility model
by Leif Andersen
Modeling correlated defaults: first passage model under stochastic volatility
by Jean-Pierre Fouque, Brian C. Wignall and Xianwen Zhou
Partial proxy simulation schemes for generic and robust Monte Carlo Greeks
by Christian P. Fries and Mark S. Joshi
Finite element valuation of swing options
by Martina Wilhelm and Christoph Winter
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