This work reviews the literature on spline local basis methods for non-parametric density
estimation. Particular attention is paid to B-spline density estimators which have …

Utilizing frame duality and a FFT-based implementation of density projection we develop a
novel and efficient transform method to price Asian options for very general asset dynamics …

In this paper, we propose a general framework for the valuation of options in stochastic local
volatility (SLV) models with a general correlation structure, which includes the stochastic …

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 …

We propose a novel Monte Carlo simulation method for two-dimensional stochastic
differential equation (SDE) systems based on approximation through continuous-time …

In this paper, a projection method combined with Fast Fourier Transform (FFT) is applied to
value equity-linked death benefit products. Specifically, we focus on valuation of the …

Many financial assets, such as currencies, commodities, and equity stocks, exhibit both
jumps and stochastic volatility, which are especially prominent in the market after the …

In this paper, we analyze a form of equity-linked Guaranteed Minimum Death Benefit
(GMDB), whose payoff depends on a dollar cost averaging (DCA) style periodic investment …

In this paper, we develop a novel and efficient transform-based method to price equity-linked
annuities (ELAs), including equity-indexed annuities (EIAs) and cliquet-style payoff …

In this paper, we propose a general approximation framework for the valuation of (path-
dependent) options under time-changed Markov processes. The underlying background …