Duality and Convergence for Binomial Markets with Friction

Duality in Robust Utility Maximization with Unbounded Claim via a Robust Extension of Rockafellar's Theorem

Dynamics on/in financial markets: dynamical decoupling and stylized facts

Efficient and accurate log-Lévy approximations to Lévy driven LIBOR models

Efficient Pricing of CPPI using Markov Operators

Equivalence of interest rate models and lattice gases

Error bounds for small jumps of Lévy processes

Error estimates for finite difference approximations of American put option price

Error Estimates for Multinomial Approximations of American Options in Merton's Model

Exact and asymptotic results for insurance risk models with surplus-dependent premiums

Exact retrospective Monte Carlo computation of arithmetic average Asian options

Exact Simulation of Bessel Diffusions

Exact Simulation of the 3/2 Model

Existence & Regularity of Weak Solutions of Degenerate Parabolic PDE Models for the Pricing of Security Derivatives

Explicit Computations for a Filtering Problem with Point Process Observations with Applications to Credit Risk

Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations

Fast Correlation Greeks by Adjoint Algorithmic Differentiation

Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility

Fine-tune your smile: Correction to Hagan et al

Finite-time singularity in the evolution of hyperinflation episodes