Austin, TX 78712
United States
University of Texas at Austin - Department of Economics
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Optimal stopping, American options, regime switching,stochastic volatility models, Heston model,stochastic interest rate, CIR process
startup financing, venture capital, hump-shaped distributions
Real options, embedded options, expected present value operators
Option pricing, double barrier options, double-no-touch options, Levy processes, Kou's model, hyper-exponential jump-diffusions, Carr's randomization, Canadization, Wiener-Hopf factorization
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
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
regime switching, Levy processes, real options, exit problems
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
Levy processes, Wiener-Hopf factorization, lookbacks, KoBoL, CGMY
Option pricing, double barrier options, double-no-touch options, Levy processes, Kou's model, hyper-exponential jump-diffusions, regime switching, stochastic volatility, stochastic interest rates, Carr's randomization, Canadization, analytic method of lines, Wiener-Hopf factorization
optimal stopping, American options, regime switching, Levy processes, stochastic interest rate, CIR model
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
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
Real options, menu of options
strangles, barrier options, jump-diffusion processes, two-point boundary problem
embedded options, technology adoption, capital expansion
real options, time preference, discounted utility anomalies
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, jump-diffusion process, ambiguity
Optimal stopping, Levy processes, non-monotone an discontinuous payoffs
time preference, discounted utility anomalies
hyperbolic discounting, bid-ask asymmetry, gain-loss asymmetries
Exit and entry, size distribution, age distribution, industry dynamics
endogenous exit, endogenous default, industry equilibrium
two-armed Poisson bandits, optimal stopping, jump-diffusion processes
sinh-regular Lévy processes, sinh-regular distributions, sinh-acceleration, Heston model, KoBoL, CGMY, CIR, CIR subordinator, Monte-Carlo simulations
stopping time games, Erlang distribution, strategic experimentation
Stable Lévy Processes, PDF, CPDF, Quantile, Conformal Principal Components, Sinh-Acceleration, Simplified Trapezoid Rule, Simplified Conic Trapezoid Rule, Richardson Extrapolation, Signal Processing
Stopping Time Games, Time-Inhomogeneous Poisson Process, Strategic Experimentation, Breakdowns, Breakthroughs
Static Hedging, Semi-Static Hedging, Levy Processes, Exotic European Options, Barrier Options, Wiener-Hopf Factorization, Fourier-Laplace Inversion, Sinh-Acceleration
Lévy processes, perpetual American options with additional barrier, perpetual straddles and strangles, Wiener-Hopf factorization, EPV operators
stopping time games, sponsored research, strategic experimentation
$Z$-transform, extrema of a random walk, lookback options, barrier options, discrete monitoring, L\'evy processes, Fourier transform, Hilbert transform, Fast Fourier transform, fast Hilbert transform, trapezoid rule, sinh-acceleration
options pricing, Fourier, sinh-acceleration, barrier option, inversion, B-spline
affine jump-diffusions, eigenfunction expansion, long run, estimation, Ornstein-Uhlenbeck model, Vasicek model, square root model, CIR model
Stieltjes-L\'evy processes, sinh-acceleration, SINH-regular L\'evy processes, HEJD, KoBoL, CGMY, NIG,Normal Tempered Stable L\'evy processes, Variance Gamma, Meixner processes, beta-model, meromorphic processes, Hyperbolic processes, Generalized Hyperbolic,subordinated BM
regime-switching Lévy processes, double barrier options, Wiener-Hopf factorization, Fourier transform, Laplace transform, Gaver-Wynn Rho algorithm, sinh-acceleration
Stable Levy Processes, Monte Carlo Simulations, Conformal Principal Components, Sinh-Acceleration, Simplified Trapezoid Rule, Simplified Conic Trapezoid Rule, Richardson Extrapolation, Signal Processing
Heston model, L\'evy processes KoBoL, double barrier options, Wiener-Hopf factorization, Fourier transform, Laplace transform, Gaver-Wynn Rho algorithm, sinh-acceleration, double spiral method
Lévy process, extrema of a Lévy process, lookback options, barrier options, Fourier transform, Hilbert transform, Fast Fourier transform, fast Hilbert transform, Gaver-Wynn Rho algorithm, sinh-acceleration
Levy process, extrema of a Levy process, double barrier options, Fourier transform, Gaver-Wynn Rho algorithm, sinh-acceleration
L\'evy process, extrema of a L\'evy process, barrier options, Wiener-Hopf factorization, Fourier transform, Laplace transform, Gaver-Wynn Rho algorithm, sinh-acceleration, SINH-regular processes, Stieltjes-L\'evy processes
stable L\'evy processes, extrema of a stable L\'evy process, fractional partial differential equations, Fourier transform, Gaver-Wynn Rho algorithm, sinh-acceleration, conformal acceleration technique
Z-transform, high order moments, Wiener-Hopf factorization, spectral filtering, conformal acceleration, sinh-acceleration
rough Heston model, fractional Adams method, Fourier transform, sinh-acceleration, CM method, COS method, Lewis method, calibration, conformal bootstrap principle MSC2020 codes: 60-08, 60E10, 60G10, 60G22, 65C20, 65D30, 65G20, 91G20, 91G60 Contents
Survival probability, lower tail probability problem, Wiener-Hopf factorization, Stieltjes-Lévy processes, SINH-regular Lévy processes, KoBoL, Normal inverse Gaussian processes, Variance Gamma processes, stable Lévy processes MSC2010 codes: 60G51, 60G52, 60-08, 65C05, 91G05, 91G20, 97M30
