This paper reviews the modern state of the Wiener–Hopf factorization method and its
generalizations. The main constructive results for matrix Wiener–Hopf problems are …

How do near-bankruptcy events in the past affect the dynamics of stock-market prices in the
future? Specifically, what are the long-time properties of a time-local exponential growth of …

After the recent financial crisis, the market for volatility derivatives has expanded rapidly to
meet the demand from investors, risk managers and speculators seeking diversification of …

This paper presents an algorithm for a complete and efficient calibration of the Heston
stochastic volatility model. We express the calibration as a nonlinear least-squares problem …

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 …

We present a fully-discrete finite element scheme to a generalized distributed-order time-
fractional option pricing model, which adequately describes, eg, the valuation of the …

We present a numerical scheme to calculate fluctuation identities for exponential Lévy
processes in the continuous monitoring case. This includes the Spitzer identities for touching …

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 …

Complex scattering targets are often made by structures constituted of wedges that may
interact at near field. In this paper, we examine the scattering of a plane electromagnetic …