Wim Schoutens

According to our database, Wim Schoutens authored at least 8 papers between 2005 and 2022.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2022

Towards Data-Driven Volatility Modeling with Variational Autoencoders.

Thomas Dierckx, Jesse Davis, Wim Schoutens

Proceedings of the Machine Learning and Principles and Practice of Knowledge Discovery in Databases, 2022

2014

Heston Model: The Variance Swap Calibration.

Florence Guillaume, Wim Schoutens

J. Optim. Theory Appl., 2014

A framework for robust measurement of implied correlation.

Daniël Linders, Wim Schoutens

J. Comput. Appl. Math., 2014

A bootstrapping market implied moment matching calibration for models with time-dependent parameters.

Florence Guillaume, Wim Schoutens

J. Comput. Appl. Math., 2014

A multivariate dependence measure for aggregating risks.

Jan Dhaene, Daniël Linders, Wim Schoutens, David Vyncke

J. Comput. Appl. Math., 2014

2012

The beta-Meixner model.

Albert Ferreiro-Castilla, Wim Schoutens

J. Comput. Appl. Math., 2012

2006

The importance of jumps in pricing European options.

Francesca Campolongo, Jessica Cariboni, Wim Schoutens

Reliab. Eng. Syst. Saf., 2006

2005

Completion of a Lévy market by power-jump assets.

José Manuel Corcuera, David Nualart, Wim Schoutens

Finance Stochastics, 2005