Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options

From Black-Scholes and Dupire formulae to last passage times of local martingales. Part A : The infinite time horizon

FX Smile in the Heston Model

Geometric Arbitrage Theory and Market Dynamics

Geometric extension of put-call symmetry in the multiasset setting

GPGPUs in computational finance: Massive parallel computing for American style options

Graphical models for correlated defaults

Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes

Hedging Effectiveness under Conditions of Asymmetry

Hedging of Defaultable Contingent Claims using BSDE with uncertain time horizon

High-order short-time expansions for ATM option prices under the CGMY model

Implied Volatility Surface: Construction Methodologies and Characteristics

Indifference of Defaultable Bonds with Stochastic Intensity models

Information Percolation: Some General Cases with an Application to Econophysics

Is a probabilistic modeling really useful in financial engineering? - A-t-on vraiment besoin d'un modèle probabiliste en ingénierie financière ?

Is the minimum value of an option on variance generated by local volatility?

Laplace transformation method for the Black-Scholes equation

Limit Theorems for Partial Hedging Under Transaction Costs

Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme

Maximum likelihood approach for several stochastic volatility models