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 …

We propose a novel Monte Carlo simulation method for two-dimensional stochastic
differential equation (SDE) systems based on approximation through continuous-time …

In this paper, we propose a general approximation framework for the valuation of (path-
dependent) options under time-changed Markov processes. The underlying background …

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

The drawdown in the price of an asset shows how much the price falls relative to its
historical maximum. This paper considers the pricing problem of perpetual American style …

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 …

In this chapter, we present recent developments in using the tools of continuous-time Markov
chains for the valuation of European and path-dependent financial derivatives. We also …

We propose an efficient computational method based on continuous-time Markov chain
(CTMC) approximation to compute the distributions of the speed and duration of drawdown …

In this study, we develop a novel method to simulate multidimensional diffusions with sticky
boundaries for which the Euler scheme fails. We approximate the sticky diffusion process by …

One of the ways to reduce greenhouse gas emissions and other polluting gases caused by
ships is to improve their maintenance operations through their life cycle. The maintenance …