We modify the model of Itkin, Shcherbakov and Veygman (ISV), proposed for pricing Quanto
CDS and risky bonds, in several ways. First, the recovery rate could significantly vary right …

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 …

We analyze in detail calibration and pricing performed within the framework of local
stochastic volatility LSV models, which have become the industry market standard for FX …

The structural default model of Lipton and Sepp [Credit value adjustment for credit default
swaps via the structural default model, J. Credit Risk 5 (2)(2009), pp. 123–146] is …

This paper deals with the exact calibration of semidiscretized stochastic local volatility (SLV)
models to their underlying semidiscretized local volatility (LV) models. Under an SLV model …

The focus of this paper is the efficient computation of counterparty credit risk exposure on
portfolio level. Here, the large number of risk factors rules out traditional PDE-based …

Pricing and hedging exotic options using local stochastic volatility models drew a serious
attention within the last decade, and nowadays became almost a standard approach to this …

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 …

We consider semi-analytical pricing of barrier options for the time-dependent SABR
stochastic volatility model (with drift in the instantaneous volatility) with zero correlation …

Isogeometric analysis is a recently developed computational approach that integrates finite
element analysis directly into design described by non-uniform rational B-splines (NURBS) …