We consider pricing a Guaranteed Lifelong Withdrawal Benefit (GLWB) that consists of the
early phase of accumulation of benefit base and the later income phase of annuities. The …

The aim of this paper is to investigate the properties of stochastic volatility models, and to
discuss to what extent, and with regard to which models, properties of the classical …

The goal of this thesis is to provide efficient and provably convergent numerical methods for
solving partial differential equations (PDEs) coming from impulse control problems …

We derive Wasserstein distance bounds between the probability distributions of a stochastic
integral (Itô) process with jumps (X t) t∈[0, T] and a jump-diffusion process (X t∗) t∈[0, T] …

We study the skewness premium (SK) introduced by Bates [J. Finance, 1991, 46 (3), 1009–
1044] in a general context using Lévy processes. Under a symmetry condition, Fajardo and …

We provide representations of solutions to terminal value problems of inhomogeneous Black–
Scholes equations and study such general properties as min–max estimates, gradient …

We investigate which jump-diffusion models are convexity preserving. The study of convexity
preserving models is motivated by monotonicity results for such models in the volatility and …

We study the convexity and model parameter monotonicity properties for prices of bonds
and bond options when the short rate is modeled by a diffusion process. We provide sharp …

We study pricing equations in jump-to-default models, and we provide conditions under
which the option price is the unique classical solution, with a special focus on boundary …

We study the skewness premium (SK) introduced by Bates (1991) in a general context using
Lévy Processes. We obtain sufficient and necessary consditions for Bate'sx% rule to hold …