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 …

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, we investigate the pricing of European crude oil options under nonlinear
dynamics with stochastic behaviour and jump risks, incorporating the features of arising …

Over the last fifty years, there has been an increasing intersection of methodologies,
applications, and contributions at the frontier of finance and operations research. This invited …

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 …

This paper derives optimal investment strategies for the 4/2 stochastic volatility model
proposed in [Grasselli, M., The 4/2 stochastic volatility model: a unified approach for the …

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

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 …

We propose new jump indexes that are aligned with the jump information on the G7 stock
markets to predict the US stock market volatility. We present several noteworthy findings …