A dual characterization of self-generation and exponential forward performances
A Finite Element Framework for Option Pricing with the Bates Model
A Fourier transform method for spread option pricing
A framework for adaptive Monte-Carlo procedures
A general method for debiasing a Monte Carlo estimator
A method for pricing American options using semi-infinite linear programming
A method of moments approach to pricing double barrier contracts driven by a general class of jump diffusions
A Numerical Study of Radial Basis Function Based Methods for Options Pricing under the One Dimension Jump-diffusion Model
A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance
A simple discretization scheme for nonnegative diffusion processes, with applications to option pricing
Absolute ruin in the Ornstein-Uhlenbeck type risk model
Adaptive Simulation of the Heston Model
Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling
ADI finite difference schemes for the Heston-Hull-White PDE
Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance
Admissible Strategies in Semimartingale Portfolio Selection
An Adaptive Markov Chain Monte Carlo Method for GARCH Model
An application to credit risk of a hybrid Monte Carlo-Optimal quantization method
An Asymptotic Expansion for Solutions of Cauchy-Dirichlet Problem for Second Order Parabolic PDEs and its Application to Pricing Barrier Options
An Efficient, Distributable, Risk Neutral Framework for CVA Calculation