Building upon the ideas introduced in their previous book, Derivatives in Financial Markets
with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives …

Using an Euler discretization to simulate a mean-reverting CEV process gives rise to the
problem that while the process itself is guaranteed to be nonnegative, the discretization is …

The role of characteristic functions in finance has been strongly amplified by the
development of the general option pricing formula by Carr and Madan. As these functions …

The COS method for pricing European and Bermudan options with one underlying asset
was developed in [F. Fang and CW Oosterlee, SIAM J. Sci. Comput., 31 (2008), pp. 826 …

The development of affine processes in modelling has shadowed the expansion of financial
mathematics ever since the pioneering works of Black and Scholes [20] and Merton [106] in …

Fourier inversion is the computational method of choice for a fast and accurate calculation of
plain vanilla option prices in models with an analytically available characteristic function …

The characteristic functions of many affine jump‐diffusion models, such as Heston's
stochastic volatility model and all of its extensions, involve multivalued functions such as the …

We present an extension of stochastic volatility equity models by a stochastic Hull–White
interest rate component while assuming non-zero correlations between the underlying …

Stochastic volatility models based on Gaussian processes, like fractional Brownian motion,
are able to reproduce important stylised facts of financial markets such as rich …

This paper presents computational techniques that make a certain class of fully dynamic
intensity-based models for portfolio credit risk, along the lines of Duffie and Gârleanu (2001) …