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

Quantile Mechanics 3: Series Representations and Approximation of some Quantile Functions appearing in Finance

Quantile Mechanics II: Changes of Variables in Monte Carlo methods and GPU-Optimized Normal Quantiles

Quantum Neural Computation for Option Price Modelling

Quasi-Monte Carlo methods for the Heston model

Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends

Replicating financial market dynamics with a simple self-organized critical lattice model

Results on numerics for FBSDE with drivers of quadratic growth

Semi-Closed Form Cubature and Applications to Financial Diffusion Models

Sensitivity analysis of the early exercise boundary for American style of Asian options

Sequential optimizing investing strategy with neural networks

Shaping tail dependencies by nesting box copulas

Shortfall Risk Approximations for American Options in the multidimensional Black--Scholes Model