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Barrier options, Markov processes
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pricing algorithms, barrier options, continuous‐time Markov chain, local volatility models with jumps, Lévy processes, normal inverse Gaussian process, variance Gamma process, CGMY model, Sato processes, local Lévy processes
Variance Gamma, Local Levy, Barrier Pricing, Sato Process
Counterparty risk, credit risk, structural model, swap, joint equity-credit modelling
Cycles, Regime-switching, singular control, dynamic programming, optimal dividend
Rational approximations, Time-changed Brownian motion models, Inverse Black-Scholes formula
Double-barrier options, volatility surface, volatility derivatives, forward starting options, stochastic volatility models with jumps, fluid embedding, complex matrix Wiener-Hopf factorisation
Static and Semi Static Hedging, Nonlinear Expectation, Variance Gamma Model, Distorted Expectation
non-additive probability; acceptable risks; nonlinear martingales; nonlinear expectation; measure distortions
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