Simulation de trajectoires de processus continus

Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems

Solving Optimal Dividend Problems via Phase-type Fitting Approximation of Scale Functions

Some Control Variates for exotic options

Stability of central finite difference schemes for the Heston PDE

State price density estimation via nonparametric mixtures

Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows

Study of the risk-adjusted pricing methodology model with methods of Geometrical Analysis

Swing Options Valuation: a BSDE with Constrained Jumps Approach

Symmetries of the Black-Scholes equation

T-Systems and the lower Snell envelope

The computation of Greeks with multilevel Monte Carlo

The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation

The potential approach in practice

Transformation methods for evaluating approximations to the optimal exercise boundary for linear and nonlinear Black-Scholes equations

Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models

Utility based pricing and hedging of jump diffusion processes with a view to applications

Utility maximization in incomplete markets with default

Variance Optimal Hedging for continuous time processes with independent increments and applications

Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type