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Optimal stopping, American options, regime switching,stochastic volatility models, Heston model,stochastic interest rate, CIR process
Real options, embedded options, expected present value operators
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Real options, perpetual American options, exponential Ornstein-Uhlenbeck process, optimal stopping
optimal stopping, American options, finite time horizon, regime switching, Levy processes, stochastic volatility models, stochastic interest rate models
Real options, random walks on lattices, expected present value operators
Option pricing, Fourier transform, FFT, Levy processes, Carr's randomization, barrier options, Wiener-Hopf factorization
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
European Options, Greeks, FFT, Inverse Fourier Transform, COS, CONV, KoBoL, CGMY, VG Model, Hyperbolic iFT Method, Parabolic iFT Method
optimal stopping, American options, regime switching, Levy processes, stochastic volatility models, Heston model, Bates model
barrier options, Levy processes, numerical methods
Heston model, Fourier transform, European options, calibration
Derivative pricing, multi-factor exactly solvable models, eigenfunction expansion, continuous algebraic Riccati equations, Lyapunov equations, representation theory of Lie algebras, Hermite polynomials
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
regime switching, Levy processes, real options, exit problems
Option pricing, double barrier options, double-no-touch options, Levy processes, Variance Gamma processes, KoBoL processes, CGMY model, fast Fourier transform, Carr's randomization, Wiener-Hopf factorization, Laplace transform
American options, Levy processes, numerical methods
Heston model, calibration, benchmarking, SR-11-7, backtest, COS, FFT, counterparty risk, CVA
credit default swaps, counterparty risk, asymmetric information
optimal stopping, American options, regime switching, Levy processes, stochastic volatility models, stochastic interest rate models
Levy processes, option pricing, dividend paying assets
optimal stopping, American options, regime switching, Lévy processes, stochastic interest rate models, quadratic term structure models
Option pricing, flat iFT method, parabolic iFT method, FFT, refined and enhanced FFT, L\'evy processes, KoBoL, CGMY, BM, Asian options
affine term structure models,Feynman-Kac
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
Levy processes, Wiener-Hopf factorization, lookbacks, KoBoL, CGMY
optimal stopping, American options, regime switching, Levy processes, stochastic interest rate, CIR model
Derivative pricing, quadratic term structure models, Fourier transform, Fast Fourier transform
Levy processes, KoBoL, CGMY, barrier options, lookback options, barrier-lookback options, Wiener-Hopf factorization, inverse Laplace transform, Fast Fourier transform
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
Term structure models, Ornstein-Uhlenbeck processes, jump diffusions, derivative pricing, eigenfunction expansion, perturbation theory, asymptotic solutions
Levy processes, early exercise boundary, option pricimg
First touch digitals, Levy processes, fast pricing
Time preference, discounted utility anomalies, decision-making under uncertainty, optimal stopping
Exit and entry, emdebbed options, technology adoption, capital expansion
optimal stopping, American options, finite time horizon, regime switching, Levy models, stochastic volatility models, stochastic interest rate models
Levy processes, optimal stopping, general payoffs
Levy processes, bond pricing, option pricing
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
European out-of-the-money options, early exercise boundary, processes with jumps
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
critical price near expiry, American puts, calls, exchange options, bond options, European options near expiry, jump-diffusions, ATSM, QTSM
embedded options, technology adoption, capital expansion
Credit Valuation Adjustment (CVA), Funding Valuation Adjustment (FVA), KoBoL, CGMY, Variance Gamma, DEJD, European Options, Barrier Options
real options, time preference, discounted utility anomalies
Spectrally one-sided Levy processes, Wiener-Hopf factorization, barrier options, credit default swaps, Laplace transform, parabolic inverse Laplace transform
estimating function, spectral decomposition, eigenfunctions, eigenvalues, time irreversible processes, quadratic term structure models, affine term structure models, Ornstein-Uhlenbeck process
Affine models, quadratic term structure models, parabolic (inverse) Fourier transform, moment explosions, analytic continuation of characteristic functions, Riccati equations, Runge-Kutta method
stopping time games, preemption, Levy uncertainty
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
Optimal stopping, Levy processes, non-monotone an discontinuous payoffs
time preference, discounted utility anomalies
hyperbolic discounting, bid-ask asymmetry, gain-loss asymmetries
optimal stopping, jump-diffusion process, ambiguity
Spectrally one-sided Levy processes, Wiener-Hopf factorization, barrier options, credit default swaps, parabolic inverse Laplace transform, parabolic inverse Fourier transform
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
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,
two-armed Poisson bandits, optimal stopping, jump-diffusion processes
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
Arithmetic Asian Options, Hilbert Transform, Generalized Hilbert Transform, Gamma Transform, Double Spiral Method, Fast Convolution, Fast Hilbert Transform
sinh-regular Lévy processes, sinh-regular distributions, sinh-acceleration, Heston model, KoBoL, CGMY, CIR, CIR subordinator, Monte-Carlo simulations
Lévy processes, perpetual American options with additional barrier, perpetual straddles and strangles, Wiener-Hopf factorization, EPV operators
Conformal deformations, simplified trapezoid rule, hypergeometric functions, Euler integrals, Bessel functions, parabolic cylinder functions, Whittaker functions, elliptic integrals
File name: mafi.pdf Size: 302K
Static Hedging, Semi-Static Hedging, Levy Processes, Exotic European Options, Barrier Options, Wiener-Hopf Factorization, Fourier-Laplace Inversion, Sinh-Acceleration
File name: mafi.pdf Size: 313K
Stable Lévy Processes, PDF, CPDF, Quantile, Conformal Principal Components, Sinh-Acceleration, Simplified Trapezoid Rule, Simplified Conic Trapezoid Rule, Richardson Extrapolation, Signal Processing
affine jump-diffusions, eigenfunction expansion, long run, estimation, Ornstein-Uhlenbeck model, Vasicek model, square root model, CIR model
Stable Levy Processes, Monte Carlo Simulations, Conformal Principal Components, Sinh-Acceleration, Simplified Trapezoid Rule, Simplified Conic Trapezoid Rule, Richardson Extrapolation, Signal Processing
options pricing, Fourier, sinh-acceleration, barrier option, inversion, B-spline
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
American options, Lévy processes, Lévy, Carr et al (2002), LevendorskiˇI (2004a)
