Utilizing frame duality and a FFT-based implementation of density projection we develop a
novel and efficient transform method to price Asian options for very general asset dynamics …

Many financial assets, such as currencies, commodities, and equity stocks, exhibit both
jumps and stochastic volatility, which are especially prominent in the market after the …

In this paper, we analyze a form of equity-linked Guaranteed Minimum Death Benefit
(GMDB), whose payoff depends on a dollar cost averaging (DCA) style periodic investment …

Hybrid equity-rate derivatives are commonly traded between financial institutions, but are
challenging to price with traditional methods. Especially challenging are those contracts …

In this paper, we propose a general data-driven framework that unifies the valuation and risk
measurement of financial derivatives, which is especially useful in markets with thinly-traded …

This work studies the valuation and optimal surrender of variable (equity-linked) annuities
under a Lévy-driven equity market with mortality risk. We consider a practical periodic fee …

We prove simple general formulas for expectations of functions of a L\'evy process and its
running extremum. Under additional conditions, we derive analytical formulas using the …

In this paper we present new theoretical and practical insights into the method of dollar cost
averaging (DCA) and averaging-style investment timing strategies, with a formal analysis of …

We clarify the relations among different Fourier-based approaches to option pricing, and
improve the B-spline probability density projection method using the sinh-acceleration …

We prove simple general formulas for expectations of functions of a random walk and its
running extremum. Under additional conditions, we derive analytical formulas using the …