The profound financial crisis generated by the collapse of Lehman Brothers and the
European sovereign debt crisis in 2011 have caused negative values of government bond …

This paper proposes a numerical method for pricing foreign exchange (FX) options in a
model which deals with stochastic interest rates and stochastic volatility of the FX rate. The …

It is known that the implied volatility skew of Forex (FX) options demonstrates a stochastic
behaviour which is called stochastic skew. In this paper, we create stochastic skew by …

This article considers the Black–Scholes and Heston models and generalize them to
stochastic interest rates and maturity-dependent volatilities. In the Black–Scholes case, the …

Jump risk plays an important role in current financial markets, yet it is a risk that cannot be
easily measured and hedged. We numerically evaluate American call options under …

We derive a backward and forward nonlinear PDEs that govern the implied volatility of a
contingent claim whenever the latter is well-defined. This would include at least any …

A Bayesian approach is used to calibrate financial volatility and disease transmission
models. The Bayesian approach can incorporate heterogeneous information through a …

A single parameter, termed the mixing fraction, is used to calibrate current localstochastic
volatility (LSV) models to traded exotic prices as well as vanilla options. This single …

The American option pricing problem lies on the inability to obtain closed form
representation of the early exercise boundary and thus of the American option price …

Current local-stochastic volatility (LSV) models use a single parameter, termed the Mixing
Fraction, to calibrate the LSV model to traded exotic prices as well as vanilla options. This …