Penalty Methods for the Solution of Discrete HJB Equations -- Continuous Control and Obstacle Problems

Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility

Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method

Phase transition in a log-normal Markov functional model

Picard approximation of stochastic differential equations and application to LIBOR models

Positive volatility simulation in the Heston model

Pricing and Semimartingale Representations of Vulnerable Contingent Claims in Regime-Switching Markets

Pricing Derivatives on Multiscale Diffusions: an Eigenfunction Expansion Approach

Pricing of average strike Asian call option using numerical PDE methods

Probability distribution of returns in the exponential Ornstein-Uhlenbeck model

Pseudorandom Financial Derivatives