We continue a series of papers where prices of the barrier options written on the underlying,
which dynamics follows some one factor stochastic model with time-dependent coefficients …

This work introduces two new financial derivatives into the finance literature. The first is the
return barrier option, which has emerged recently as a popular contract in the OTC markets …

We investigate the risk control and dividend optimization problem of an insurance group in a
general setting and propose an innovative semi-analytical approach to the problem. The …

In this paper, we propose a semi-analytical approach to pricing options on SOFR futures
where the underlying SOFR follows a time-dependent CEV model. By definition, these …

This book describes several techniques, first invented in physics for solving problems of heat
and mass transfer, and applies them to various problems of mathematical finance defined in …

We develop the general integral transforms (GIT) method for pricing barrier options in the
time-dependent Heston model (also with a time-dependent barrier) where the option price is …

In this paper we propose a semi-analytic approach to pricing American options for time-
dependent jump-diffusions models with exponential jumps The idea of the method is to …

Semi-analytical pricing of American options in a time-dependent Ornstein-Uhlenbeck model
was presented in [Carr, Itkin, 2020]. It was shown that to obtain these prices one needs to …

We continue a series of papers devoted to construction of semi-analytic solutions for barrier
options. These options are written on underlying following some simple one-factor diffusion …

In this paper, we develop a Multilayer (ML) method for solving one-factor parabolic
equations. Our approach provides a powerful alternative to the well-known finite difference …