Asymptotic analysis of stochastic stock price models is the central topic of the present
volume. Special examples of such models are stochastic volatility models, that have been …

Introducing a revolutionary new quantitative approach to hybrid securities valuation and risk
management To an equity trader they are shares. For the trader at the fixed income desk …

We present a simplified approach to the analytical approximation of the transition density
related to a general local volatility model. The methodology is sufficiently flexible to be …

We construct efficient and accurate numerical algorithms for pricing discretely monitored
barrier and Bermudan style options under time-changed Lévy processes by applying the fast …

In this paper, we employ deep learning techniques to detect financial asset bubbles by using
observed call option prices. The proposed algorithm is widely applicable and model …

Quantization techniques have been applied in many challenging finance applications,
including pricing claims with path dependence and early exercise features, stochastic …

In traditional research in insurance and finance, a firm is subject to immediate liquidation
when its asset value process drops to an absorbing low barrier. This treatment greatly …

We propose a deterministic numerical method for pricing vanilla options under the SABR
stochastic volatility model, based on a finite element discretization of the Kolmogorov pricing …

Much of the work on the valuation of levered (and unlevered) warrants assumes that the
volatility of the underlying state variable is constant. This paper extends the literature on …

The paper considers the asymptotic behavior of the implied volatility in stochastic asset price
models with atoms. In such models, the asset price distribution has a singular component at …