Economy – Quantitative Finance – Computational Finance
Scientist
Economy
Quantitative Finance
Computational Finance
Scientist
A method of moments approach to pricing double barrier contracts driven by a general class of jump diffusions
A transform approach to compute prices and greeks of barrier options driven by a class of Levy processes
A two-dimensional ruin problem on the positive quadrant
An explicit Skorokhod embedding for spectrally negative Levy processes
Continuously monitored barrier options under Markov processes
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