Pricing Models of Volatility Products and Exotic Variance Derivatives

Efficient risk measures calculations for generalized creditrisk + models

Real option signaling games of debt financing using equity guarantee swaps under asymmetric information

Willow tree algorithms for pricing VIX derivatives under jump-diffusion dynamics of index and variance process

Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications

Signaling game models of equity financing under information asymmetry and finite project life

Willow Tree Algorithms for Pricing Guaranteed Minimum Withdrawal Benefits Under Jump-diffusion and CEV Models

Real options signaling game models for dynamic acquisition under information asymmetry

Saddlepoint Approximation Methods in Financial Engineering

Numerical Pricing of CoCo Bonds with Parisian Trigger Feature Using the Fortet Method

Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals

Enhanced Equity-credit Modelling for Contingent Convertibles

Pricing Bounds and Approximations for Discrete Arithmetic Asian Options Under Time-changed Lévy Processes

Real Options Game Models of R&D Competition between Asymmetric Firms with Spillovers

Recursive Algorithms for Pricing Discrete Variance Options and Volatility Swaps Under Time-changed LÉVY Processes

Regression-based Monte Carlo methods for stochastic control models: Variable annuities with lifelong guarantees

FAST HILBERT TRANSFORM ALGORITHMS FOR PRICING DISCRETE TIMER OPTIONS UNDER STOCHASTIC VOLATILITY MODELS

Game Options Analysis of the Information Role of Call Policies in Convertible Bonds

Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models

Pricing options on discrete realized variance with partially exact and bounded approximations

Stochastic control model for R&D race in a mixed duopoly with spillovers and knowledge stocks

Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products

Closed form pricing formulas for discretely sampled generalized variance swaps

Fourier transform algorithms for pricing and hedging discretely sampled exotic variance products and volatility derivatives under additive processes

Game Option Models of Convertible Bonds: Determinants of Call Policies

Numerical Algorithms for Research and Development Stochastic Control Models

Pricing Barrier and Bermudan Style Options Under Time-Changed Levy Processes: Fast Hilbert Transform Approach

Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance

Patent-investment games under asymmetric information

Pricing guaranteed minimum withdrawal benefits under stochastic interest rates

Convexity meets replication: Hedging of swap derivatives and annuity options

OPTIMAL ARBITRAGE STRATEGIES ON STOCK INDEX FUTURES UNDER POSITION LIMITS

Real options game analysis of sleeping patents

Lattice Methods For Path-Dependent Options

Applied Complex Variables for Scientists and Engineers

Efficient Options Pricing Using the Fast Fourier Transform

Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity

Employee stock option valuation with repricing features

Finite-time dividend-ruin models

Guaranteed minimum withdrawal benefit in variable annuities

Optimal multiple stopping models of reload options and shout options

Mathematical models of financial derivatives

Distribution of occupation times for constant elasticity of variance diffusion and the pricing of alpha-quantile options

Intensity-based framework and penalty formulation of optimal stopping problems

Real options in strategic investment games between two asymmetric firms

Target redemption notes

Valuation of guaranteed annuity options in affine term structure models

American options with lookback payoff

Characterization of optimal stopping regions of American Asian and lookback options

Optimal execution strategy of liquidation

Pricing participating policies with rate guarantees

Credit default swap valuation with counterparty risk

Integral price formulas for lookback options

Optimal policies of call with notice period requirement

Options with combined reset rights on strike and maturity

Valuation of employee reload options using utility maximization approach

Valuing employee reload options under the time vesting requirement

Anatomy of option features in convertible bonds

Knock-in American options

Optimal shouting policies of options with strike reset right

Quanto lookback options

Reset and withdrawal rights in dynamic fund protection

American currency forward

Discussion on pricing perpetual fund protection with withdrawal option

Interaction of the conversion and call rights

Jump diffusion models for risky debts: Quality spread differentials

Multi-asset barrier options and occupation time derivatives

No arbitrage approach for pricing credit spread derivatives

Options with multiple reset rights

Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks

Optimal calling policies in convertible bonds

Contingent claim approach for analyzing the credit risk of defaultable currency swaps

Applied Complex Variables for Scientists and Engineers

Accuracy and reliability considerations of option pricing algorithms

Early exercise policies of American floating strike and fixed strike lookback options

Pricing algorithms for options with exotic path dependence

Pricing algorithms of multivariate path dependent options

Effects of callable feature on early exercise policy

Numerical simulation of principal tidal constituents in the South China Sea, Gulf of Tonkin and Gulf of Thailand

Convergence Analysis of a Staggered Pressure Correction Scheme for Viscous Incompressible Flows

Second order projection algorithms for viscous incompressible flow simulation

Vortex Dynamics in the Studies of Looping in Tropical Cyclone Tracks

Accuracy and Stability Analysis of Numerical Schemes for the Shallow Water Model

Numerical simulation of electrochemical diffusion-migration model with reaction at electrodes

Fourier Analysis of Iterative Schemes for Solving the Biharmonic Equation

Fractional Step Algorithm for Solving a Multi‐Dimensional Diffusion‐Migration Equation

LINEAR HYDRODYNAMICAL STABILITY OF 2-LAYER INCLINED FLOW WITH VISCOSITY AND DENSITY STRATIFICATIONS

Numerical Quadrature Formulas through the Theory of Analytic Functions

First Asian Computational Fluid Dynamics Conference. Hong Kong, January 1995. Volumes 1, 2 & 3

Gravity due to a body with rotational symmetry about a vertical axis

Linearized stability analysis of staggered-grid difference schemes for multidimensional viscous incompressible flows

Modified quadrature formula for integrand with nearby poles

Stability analysis of three-level difference schemes for initial-boundary problems for multidimensional convective-diffusion equations

Frequency domain expressions for surface and borehole gravity potential due to two- and three-dimensional mass models

Stability analysis of six-point finite difference schemes for the constant coefficient convective-diffusion equation

Analysis of computer extended series

Applications of MACSYMA to Solutions of Ordinary Differential Equations

Contour integrals for gravity computation of horizontal 2 1 2-D bodies with variable density

Gravity gradient tensors due to a polyhedron with polygonal facets

Location and structure of the nearest singularity of a perturbation series

PADE AND UPWINDING FINITE-DIFFERENCE SCHEMES FOR THE QUANTUM-MECHANICAL EQUATION OF MOTION

Singularities in gravity computation for vertical cylinders and prisms

Theoretical considerations for finite difference algorithms for simulation of gas-particle flows

The use of the Euler functions for error estimates of the trapezoidal and Simpson's quadratures

A regular perturbation method for subcritical flow over a two-dimensional airfoil

An Algorithm for the numerical inversion of Laplace transforms

Conjugate complex variables method for the computation of gravity anomalies

Motion of an artificial satellite about the earth

On some aspects of the transonic controversy

Numerical Pricing of CoCo Bonds with Parisian Trigger Feature Using the Fortet Method

Article

Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals

Article

Enhanced Equity-credit Modelling for Contingent Convertibles

Article

Pricing Bounds and Approximations for Discrete Arithmetic Asian Options Under Time-changed Lévy Processes

Article

Real Options Game Models of R&D Competition between Asymmetric Firms with Spillovers

Article

Recursive Algorithms for Pricing Discrete Variance Options and Volatility Swaps Under Time-changed LÉVY Processes

Article

Regression-based Monte Carlo methods for stochastic control models: Variable annuities with lifelong guarantees

Article

FAST HILBERT TRANSFORM ALGORITHMS FOR PRICING DISCRETE TIMER OPTIONS UNDER STOCHASTIC VOLATILITY MODELS

Article

Game Options Analysis of the Information Role of Call Policies in Convertible Bonds

Article

Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models

Article

Pricing options on discrete realized variance with partially exact and bounded approximations

Article

Stochastic control model for R&D race in a mixed duopoly with spillovers and knowledge stocks

Article

Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products

Article

Closed form pricing formulas for discretely sampled generalized variance swaps

Article

Fourier transform algorithms for pricing and hedging discretely sampled exotic variance products and volatility derivatives under additive processes

Article

Game Option Models of Convertible Bonds: Determinants of Call Policies

Article

Numerical Algorithms for Research and Development Stochastic Control Models

Article

Pricing Barrier and Bermudan Style Options Under Time-Changed Levy Processes: Fast Hilbert Transform Approach

Article

Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance

Article

Patent-investment games under asymmetric information

Article

Pricing guaranteed minimum withdrawal benefits under stochastic interest rates

Article

Convexity meets replication: Hedging of swap derivatives and annuity options

Article

OPTIMAL ARBITRAGE STRATEGIES ON STOCK INDEX FUTURES UNDER POSITION LIMITS

Article

Real options game analysis of sleeping patents

Article

Lattice Methods For Path-Dependent Options

Article

Applied Complex Variables for Scientists and Engineers

Book

Efficient Options Pricing Using the Fast Fourier Transform

Book chapter

Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity

Article

Employee stock option valuation with repricing features

Article

Finite-time dividend-ruin models

Article

Guaranteed minimum withdrawal benefit in variable annuities

Article

Optimal multiple stopping models of reload options and shout options

Article

Mathematical models of financial derivatives

Book

Distribution of occupation times for constant elasticity of variance diffusion and the pricing of alpha-quantile options

Article

Intensity-based framework and penalty formulation of optimal stopping problems

Article

Real options in strategic investment games between two asymmetric firms

Article

Target redemption notes

Article

Valuation of guaranteed annuity options in affine term structure models

Article

American options with lookback payoff

Article

Characterization of optimal stopping regions of American Asian and lookback options

Article

Optimal execution strategy of liquidation

Article

Pricing participating policies with rate guarantees

Article

Credit default swap valuation with counterparty risk

Article

Integral price formulas for lookback options

Article

Optimal policies of call with notice period requirement

Article

Options with combined reset rights on strike and maturity

Article

Valuation of employee reload options using utility maximization approach

Article

Valuing employee reload options under the time vesting requirement

Article

Anatomy of option features in convertible bonds

Article

Knock-in American options

Article

Optimal shouting policies of options with strike reset right

Article

Quanto lookback options

Article

Reset and withdrawal rights in dynamic fund protection

Article

American currency forward

Article

Discussion on pricing perpetual fund protection with withdrawal option

Article

Interaction of the conversion and call rights

Article

Jump diffusion models for risky debts: Quality spread differentials

Article

Multi-asset barrier options and occupation time derivatives

Article

No arbitrage approach for pricing credit spread derivatives

Article

Options with multiple reset rights

Article

Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks

Article

Optimal calling policies in convertible bonds

Conference paper

Contingent claim approach for analyzing the credit risk of defaultable currency swaps

Article

Applied Complex Variables for Scientists and Engineers

Book

Accuracy and reliability considerations of option pricing algorithms

Article

Early exercise policies of American floating strike and fixed strike lookback options

Article

Pricing algorithms for options with exotic path dependence

Article

Pricing algorithms of multivariate path dependent options

Article

Effects of callable feature on early exercise policy

Article

Numerical simulation of principal tidal constituents in the South China Sea, Gulf of Tonkin and Gulf of Thailand

Article

Convergence Analysis of a Staggered Pressure Correction Scheme for Viscous Incompressible Flows

Article

Second order projection algorithms for viscous incompressible flow simulation

Article

Vortex Dynamics in the Studies of Looping in Tropical Cyclone Tracks

Article

Accuracy and Stability Analysis of Numerical Schemes for the Shallow Water Model

Article

Numerical simulation of electrochemical diffusion-migration model with reaction at electrodes

Article

Fourier Analysis of Iterative Schemes for Solving the Biharmonic Equation

Article

Fractional Step Algorithm for Solving a Multi‐Dimensional Diffusion‐Migration Equation

Article

LINEAR HYDRODYNAMICAL STABILITY OF 2-LAYER INCLINED FLOW WITH VISCOSITY AND DENSITY STRATIFICATIONS

Article

Numerical Quadrature Formulas through the Theory of Analytic Functions

Article

First Asian Computational Fluid Dynamics Conference. Hong Kong, January 1995. Volumes 1, 2 & 3

Conference paper

Gravity due to a body with rotational symmetry about a vertical axis

Article

Linearized stability analysis of staggered-grid difference schemes for multidimensional viscous incompressible flows

Article

Modified quadrature formula for integrand with nearby poles

Article

Stability analysis of three-level difference schemes for initial-boundary problems for multidimensional convective-diffusion equations

Article

Frequency domain expressions for surface and borehole gravity potential due to two- and three-dimensional mass models

Article

Stability analysis of six-point finite difference schemes for the constant coefficient convective-diffusion equation

Article

Analysis of computer extended series

Article

Applications of MACSYMA to Solutions of Ordinary Differential Equations

Article

Contour integrals for gravity computation of horizontal 2 1 2-D bodies with variable density

Article

Gravity gradient tensors due to a polyhedron with polygonal facets

Article

Location and structure of the nearest singularity of a perturbation series

Article

PADE AND UPWINDING FINITE-DIFFERENCE SCHEMES FOR THE QUANTUM-MECHANICAL EQUATION OF MOTION

Article

Singularities in gravity computation for vertical cylinders and prisms

Article

Theoretical considerations for finite difference algorithms for simulation of gas-particle flows

Conference paper

The use of the Euler functions for error estimates of the trapezoidal and Simpson's quadratures

Article

A regular perturbation method for subcritical flow over a two-dimensional airfoil

Article

An Algorithm for the numerical inversion of Laplace transforms

Article

Conjugate complex variables method for the computation of gravity anomalies

Article

Motion of an artificial satellite about the earth

Article

On some aspects of the transonic controversy

Article