A path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models

A remark on Gatheral's 'most-likely path approximation' of implied volatility

A Review of Volatility and Option Pricing

A Simplified Approach to modeling the credit-risk of CMO

A Steady State Solution to a Mortgage Pricing Problem

A Subjective and Probabilistic Approach to Derivatives

A Top-down Model for Cash CLO

A tractable LIBOR model with default risk

A transform approach to compute prices and greeks of barrier options driven by a class of Levy processes

A unified approach to determining the early exercise boundary position at expiry for American style of general class of derivatives

Adaptive Wave Models for Option Pricing Evolution: Nonlinear and Quantum Schrödinger Approaches

Adaptive-Wave Alternative for the Black-Scholes Option Pricing Model

Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model

Affine Models

Alternative approach to the optimality of the threshold strategy for spectrally negative Levy processes

American and Bermudan options in currency markets under proportional transaction costs

American Options Based on Malliavin Calculus and Nonparametric Variance Reduction Methods

American Options Pricing under Stochastic Volatility: Approximation of the Early Exercise Surface and Monte Carlo Simulations

American Options under Proportional Transaction Costs: Pricing, Hedging and Stopping Algorithms for Long and Short Positions

American Step-Up and Step-Down Credit Default Swaps under Levy Models