Spectral methods in derivatives pricing
V Linetsky - Handbooks in Operations Research and Management …, 2007 - Elsevier
In this chapter we study the problem of valuing a (possibly defaultable) derivative asset
contingent on the underlying economic state modeled as a Markov process. To gain …
contingent on the underlying economic state modeled as a Markov process. To gain …
Two trees
JH Cochrane, FA Longstaff… - The Review of Financial …, 2008 - academic.oup.com
We solve a model with two iid Lucas trees. Although the corresponding one-tree model
produces a constant price-dividend ratio and iid returns, the two-tree model produces …
produces a constant price-dividend ratio and iid returns, the two-tree model produces …
[图书][B] Analysis, geometry, and modeling in finance: Advanced methods in option pricing
P Henry-Labordere - 2008 - taylorfrancis.com
Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing is the
first book that applies advanced analytical and geometrical methods used in physics and …
first book that applies advanced analytical and geometrical methods used in physics and …
The spectral decomposition of the option value
V Linetsky - International Journal of Theoretical and Applied …, 2004 - World Scientific
This paper develops a spectral expansion approach to the valuation of contingent claims
when the underlying state variable follows a one-dimensional diffusion with the infinitesimal …
when the underlying state variable follows a one-dimensional diffusion with the infinitesimal …
A general asymptotic implied volatility for stochastic volatility models
P Henry-Labordere - arXiv preprint cond-mat/0504317, 2005 - arxiv.org
In this paper, we derive a general asymptotic implied volatility at the first-order for any
stochastic volatility model using the heat kernel expansion on a Riemann manifold endowed …
stochastic volatility model using the heat kernel expansion on a Riemann manifold endowed …
Financial modeling
S Crépey - Springer Finance, DOI, 2013 - Springer
This is a book on financial modeling that emphasizes computational aspects. It gives a
unified perspective on derivative pricing and hedging across asset classes and is addressed …
unified perspective on derivative pricing and hedging across asset classes and is addressed …
Smart expansion and fast calibration for jump diffusions
E Benhamou, E Gobet, M Miri - Finance and stochastics, 2009 - Springer
Using Malliavin calculus techniques, we derive an analytical formula for the price of
European options, for any model including local volatility and Poisson jump processes. We …
European options, for any model including local volatility and Poisson jump processes. We …
Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing
L Qin, V Linetsky - Operations Research, 2016 - pubsonline.informs.org
This paper develops a spectral theory of Markovian asset pricing models where the
underlying economic uncertainty follows a continuous-time Markov process X with a general …
underlying economic uncertainty follows a continuous-time Markov process X with a general …
[图书][B] Advanced derivatives pricing and risk management: theory, tools, and hands-on programming applications
C Albanese, G Campolieti - 2005 - books.google.com
Advanced Derivatives Pricing and Risk Management covers the most important and cutting-
edge topics in financial derivatives pricing and risk management, striking a fine balance …
edge topics in financial derivatives pricing and risk management, striking a fine balance …
Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
A Lipton, A Gal, A Lasis - Quantitative Finance, 2014 - Taylor & Francis
Stochastic volatility (SV) and local stochastic volatility (LSV) processes can be used to model
the evolution of various financial variables such as FX rates, stock prices and so on …
the evolution of various financial variables such as FX rates, stock prices and so on …