Allan Jonathan da Silva

According to our database, Allan Jonathan da Silva authored at least 3 papers between 2016 and 2024.

Collaborative distances:

• Dijkstra number of six.
• Erdős number of six.

2024

Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives.

Allan Jonathan da Silva, Jack Baczynski

Comput. Manag. Sci., June, 2024

2019

Path-Dependent Interest Rate Option Pricing with Jumps and Stochastic Intensities.

Allan Jonathan da Silva, Jack Baczynski, João Felipe da Silva Bragança

Proceedings of the Computational Science - ICCS 2019, 2019

2016

A new finite difference method for pricing and hedging fixed income derivatives: Comparative analysis and the case of an Asian option.

Allan Jonathan da Silva, Jack Baczynski, José V. M. Vicente

J. Comput. Appl. Math., 2016