Technical paper/Computational finance

• Original research

Exact pricing formulae for caps and swaptions in a Lévy term structure model

• 12 Jan 2006

• Original research

Evaluation of compound options using perturbation approximation

• 15 Sep 2005

• Original research

Fast solutions of complementarity formulations in American put pricing

• 15 Sep 2005

• Original research

Control variates for Monte Carlo valuation of American options

• 15 Sep 2005

• Original research

Extended Libor market models with stochastic volatility

• 15 Sep 2005

• Original research

A model of corporate bond pricing with liquidity and marketability risk

• 30 Aug 2005

• Original research

Recovering volatility from option prices by evolutionary optimization

• 23 Jun 2005

• Original research

Sparse wavelet methods for option pricing under stochastic volatility

• 23 Jun 2005

• Original research

Risk-management methods for the Libor market model using semidefinite programming

• 23 Jun 2005

• Original research

American options and the LSM algorithm: quasi-random sequences and Brownian bridges

• 23 Jun 2005

• Original research

Default and recovery rates of Asia-Pacific corporate bond issuers, 1990–2003

• 05 May 2005

• Original research

Numerical analysis of Monte Carlo evaluation of Greeks by finite differences

• 01 Apr 2005

• Original research

Convergence of Monte Carlo simulations involving the mean-reverting square root process

• 01 Apr 2005

• Original research

American option pricing and exercising with transaction costs

• 01 Apr 2005

• Original research

The modified willow tree algorithm

• 01 Apr 2005

• Original research

Option pricing using the fractional FFT

• 01 Jan 2005

• Original research

Pricing and hedging callable Libor exotics in forward Libor models

• 01 Jan 2005

• Original research

Optimal portfolio series formula under dynamic appreciation rate uncertainty

• 01 Jan 2005

• Original research

Efficient pricing of Asian options by the PDE approach

• 01 Jan 2005

• Original research

Risk-sensitive portfolio optimization with transaction costs

• 22 Sep 2004

• Original research

Analysis of the stability of the linear boundary condition for the Black–Scholes equation

• 22 Sep 2004

• Original research

Fast drift-approximated pricing in the BGM model

• 22 Sep 2004

• Original research

Numerical pricing of discrete barrier and lookback options via Laplace transforms

• 22 Sep 2004

• Original research

Convergence of the stochastic mesh estimator for pricing Bermudan options

• 22 Jul 2004