Abstract:

Optimal stopping, American options, regime switching,stochastic volatility models, Heston model,stochastic interest rate, CIR process

Abstract:

Real options, perpetual American options, exponential Ornstein-Uhlenbeck process, optimal stopping

Abstract:

optimal stopping, American options, finite time horizon, regime switching, Levy processes, stochastic volatility models, stochastic interest rate models

Abstract:

Real options, random walks on lattices, expected present value operators

Abstract:

Option pricing, Fourier transform, FFT, Levy processes, Carr's randomization, barrier options, Wiener-Hopf factorization

Abstract:

Option pricing, greeks, barrier options, first-touch digitals, Levy processes, KoBoL processes, CGMY model, Normal Inverse Gaussian processes, Variance Gamma processes, Fast Fourier transform, Carr's randomization, Wiener-Hopf factorization

Abstract:

optimal stopping, American options, regime switching, Levy processes, stochastic volatility models, Heston model, Bates model

Abstract:

European Options, Greeks, FFT, Inverse Fourier Transform, COS, CONV, KoBoL, CGMY, VG Model, Hyperbolic iFT Method, Parabolic iFT Method

Abstract:

barrier options, Levy processes, numerical methods

Abstract:

Heston model, Fourier transform, European options, calibration

Abstract:

Derivative pricing, multi-factor exactly solvable models, eigenfunction expansion, continuous algebraic Riccati equations, Lyapunov equations, representation theory of Lie algebras, Hermite polynomials

Abstract:

Real options, embedded options, expected present value operators

Abstract:

Derivative pricing, swaptions, caps and floors, multi-factor exactly solvable models, eigenfunction expansion, continuous algebraic Riccati equations, Lyapunov equations, representation theory of Lie algebras, Hermite polynomials

Abstract:

regime switching, Levy processes, real options, exit problems

Abstract:

American options, Levy processes, numerical methods

Abstract:

credit default swaps, counterparty risk, asymmetric information

Abstract:

optimal stopping, American options, regime switching, Levy processes, stochastic volatility models, stochastic interest rate models

Abstract:

Heston model, calibration, benchmarking, SR-11-7, backtest, COS, FFT, counterparty risk, CVA

Abstract:

Levy processes, option pricing, dividend paying assets

Abstract:

optimal stopping, American options, regime switching, Lévy processes, stochastic interest rate models, quadratic term structure models

Abstract:

Option pricing, flat iFT method, parabolic iFT method, FFT, refined and enhanced FFT, L\'evy processes, KoBoL, CGMY, BM, Asian options

Abstract:

affine term structure models,Feynman-Kac

Abstract:

Option pricing, sensitivities, Fast Fourier transform, refined and enhanced Fast Fourier transform, Integration-along-cut method, Levy processes, Normal Inverse Gaussian model, Variance Gamma model, KoBoL, CGMY, out-of-the-money options

Abstract:

Derivative pricing, quadratic term structure models, Fourier transform, Fast Fourier transform

Abstract:

Levy processes, Wiener-Hopf factorization, lookbacks, KoBoL, CGMY

Abstract:

optimal stopping, American options, regime switching, Levy processes, stochastic interest rate, CIR model

Abstract:

optimal stopping, American options, regime switching, Lévy processes, stochastic interest rate models, Vasicek model, Black's model, Ornstein-Uhlenbeck driven models, affine term structure models

Abstract:

Levy processes, early exercise boundary, option pricimg

Abstract:

Term structure models, Ornstein-Uhlenbeck processes, jump diffusions, derivative pricing, eigenfunction expansion, perturbation theory, asymptotic solutions

Abstract:

Levy processes, KoBoL, CGMY, barrier options, lookback options, barrier-lookback options, Wiener-Hopf factorization, inverse Laplace transform, Fast Fourier transform

Abstract:

First touch digitals, Levy processes, fast pricing

Abstract:

Time preference, discounted utility anomalies, decision-making under uncertainty, optimal stopping

Abstract:

Exit and entry, emdebbed options, technology adoption, capital expansion

Abstract:

optimal stopping, American options, finite time horizon, regime switching, Levy models, stochastic volatility models, stochastic interest rate models

Abstract:

Levy processes, optimal stopping, general payoffs

Abstract:

Levy processes, bond pricing, option pricing

Abstract:

European out-of-the-money options, early exercise boundary, processes with jumps

Abstract:

critical price near expiry, American puts, calls, exchange options, bond options, European options near expiry, jump-diffusions, ATSM, QTSM

Abstract:

Barrier options, credit default swaps, CDS, defaultable bonds, discrete monitoring, credit derivatives, Greeks, inverse Fourier transform, FFT, Hilbert transform, CONV method, COS method, Levy processes, KoBoL processes, CGMY model, Variance Gamma processes

Abstract:

barrier options, first-touch digitals, Levy processes,Carr's randomization, KoBoL processes, CGMY model,Normal Inverse Gaussian processes, Variance Gamma processes, Wiener-Hopf factorization, asymptotics

Abstract:

embedded options, technology adoption, capital expansion

Abstract:

Levy processes, option pricing, dividend paying assets

Abstract:

real options, time preference, discounted utility anomalies

Abstract:

Credit Valuation Adjustment (CVA), Funding Valuation Adjustment (FVA), KoBoL, CGMY, Variance Gamma, DEJD, European Options, Barrier Options

Abstract:

estimating function, spectral decomposition, eigenfunctions, eigenvalues, time irreversible processes, quadratic term structure models, affine term structure models, Ornstein-Uhlenbeck process

Abstract:

Spectrally one-sided Levy processes, Wiener-Hopf factorization, barrier options, credit default swaps, Laplace transform, parabolic inverse Laplace transform

Abstract:

Affine models, quadratic term structure models, parabolic (inverse) Fourier transform, moment explosions, analytic continuation of characteristic functions, Riccati equations, Runge-Kutta method

Abstract:

Stochastic interest rate, quadratic term structure models, L'evy processes, Wiener-Hopf factorization, barrier options, credit default swaps, parabolic inverse Laplace transform, parabolic inverse Fourier transform, quanto CDS

Abstract:

Optimal stopping, Levy processes, non-monotone an discontinuous payoffs

Abstract:

time preference, discounted utility anomalies

Abstract:

hyperbolic discounting, bid-ask asymmetry, gain-loss asymmetries

Abstract:

barrier options, first-touch digitals, L'evy processes, Carr's randomization, KoBoL processes, CGMY model, Normal Inverse Gaussian processes, Variance Gamma processes, Wiener-Hopf factorization, asymptotics, Greeks

Abstract:

optimal stopping, jump-diffusion process, ambiguity

Abstract:

Spectrally one-sided Levy processes, Wiener-Hopf factorization, barrier options, credit default swaps, parabolic inverse Laplace transform, parabolic inverse Fourier transform

Abstract:

Levy processes, Laplace inversion, Wiener-Hopf factorization,barrier options, lookbacks, Fourier transform, conformal deformations,CDS, joint distribution of a Levy process and its extrema, Gaver-Wynn-Rho algorithm, Gaver-Stehfest algorithm,

Abstract:

two-armed Poisson bandits, optimal stopping, jump-diffusion processes

Abstract:

Abstract:

Fourier Transform, Laplace Transform, Conformal Deformations, Simplified Trapezoid Rule, Hypergeometric Functions, Euler Integrals, Bessel Functions, Parabolic Cylinder Functions, Probability Distributions, Wiener-Hopf Factorization, European Options, Levy Models, Heston Model, SV Models

Abstract:

Arithmetic Asian Options, Hilbert Transform, Generalized Hilbert Transform, Gamma Transform, Double Spiral Method, Fast Convolution, Fast Hilbert Transform

Abstract:

sinh-regular Lévy processes, sinh-regular distributions, sinh-acceleration, Heston model, KoBoL, CGMY, CIR, CIR subordinator, Monte-Carlo simulations

Abstract:

Lévy processes, perpetual American options with additional barrier, perpetual straddles and strangles, Wiener-Hopf factorization, EPV operators

Abstract:

Conformal deformations, simplified trapezoid rule, hypergeometric functions, Euler integrals, Bessel functions, parabolic cylinder functions, Whittaker functions, elliptic integrals

Abstract:

Abstract:

Abstract:

Static Hedging, Semi-Static Hedging, Levy Processes, Exotic European Options, Barrier Options, Wiener-Hopf Factorization, Fourier-Laplace Inversion, Sinh-Acceleration

Abstract:

Stable Lévy Processes, PDF, CPDF, Quantile, Conformal Principal Components, Sinh-Acceleration, Simplified Trapezoid Rule, Simplified Conic Trapezoid Rule, Richardson Extrapolation, Signal Processing

Abstract:

affine jump-diffusions, eigenfunction expansion, long run, estimation, Ornstein-Uhlenbeck model, Vasicek model, square root model, CIR model

Abstract:

Stable Levy Processes, Monte Carlo Simulations, Conformal Principal Components, Sinh-Acceleration, Simplified Trapezoid Rule, Simplified Conic Trapezoid Rule, Richardson Extrapolation, Signal Processing

Abstract:

Option pricing, greeks, barrier options, first-touch digitals, Lévy processes, Fast Fourier transform; Carr's randomization; KoBoL processes; CGMY model; Normal Inverse Gaussian processes, Variance Gamma processes, Wiener–Hopf factorization

Abstract:

American options, Lévy processes, Lévy, Carr et al (2002), LevendorskiˇI (2004a)