Concepedia

Hans van der Weide

HV

4

Publications

198

Citations

4

H-Index

2007

Active since

Affiliations

Delft University of Technology(Current)

Hans van der Weide is an author at Delft University of Technology specializing in engineering, finance, and asset pricing.

Top concepts

EngineeringFinanceAsset PricingFinancial EngineeringBusinessStatisticsOption PricingVolatility ModelingStochastic VolatilityMultivariate Stochastic Volatility

Publications per year

2007–2012

4

Publications

4

A Closed Form Approach to the Valuation and Hedging of Basket and Spread Option

Svetlana Borovkova, Ferry Jaya Permana, Hans van der Weide · The Journal of Derivatives · 2007 · 100 citations

Volatility Modeling, Engineering, Basket Options +18

A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL

Bin Chen, Cornelis W. Oosterlee, Hans van der Weide · International Journal of Theoretical and Applied Finance · 2012 · 55 citations · Full text

Volatility Modeling, Engineering, Simulation +17

Higher-order saddlepoint approximations in the Vasicek portfolio credit loss model

Xinzheng Huang, Cornelis W. Oosterlee, Hans van der Weide · The Journal of Computational Finance · 2007 · 28 citations

Portfolio Optimization, Saddlepoint Approximation, Asset Pricing +15

An Approximation Approach for Model Predictive Control of Stochastic Max-Plus Linear Systems

Samira S. Farahani, Ton van den Boom, Hans van der Weide et al. · IFAC Proceedings Volumes · 2010 · 15 citations

Engineering, Model-based Control Technique, Mathematical Control Theory +6

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