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 …

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

Hybrid equity-rate derivatives are commonly traded between financial institutions, but are
challenging to price with traditional methods. Especially challenging are those contracts …

Rough volatility models are a new class of stochastic volatility models that have been shown
to provide a consistently good fit to implied volatility smiles of SPX options. They are …

In this chapter, we present recent developments in using the tools of continuous-time Markov
chains for the valuation of European and path-dependent financial derivatives. We also …

The drawdown in the price of an asset shows how much the price falls relative to its
historical maximum. This paper considers the pricing problem of perpetual American style …

In this paper, we propose a general data-driven framework that unifies the valuation and risk
measurement of financial derivatives, which is especially useful in markets with thinly-traded …

We derive the short-maturity asymptotics for European and VIX option prices in local-
stochastic volatility models where the volatility follows a continuous-path Markov process …

In this paper, we present a transform-based algorithm for pricing discretely monitored
arithmetic Asian options with remarkable accuracy in a general stochastic volatility …