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Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities

Economy – Quantitative Finance – Pricing of Securities
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Vanna-Volga methods applied to FX derivatives : from theory to market practice

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Variational inequality method in stock loans

Economy – Quantitative Finance – Pricing of Securities
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Volatility derivatives in market models with jumps

Economy – Quantitative Finance – Pricing of Securities
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Volatility forecasts and the at-the-money implied volatility: a multi-components ARCH approach and its relation with market models

Economy – Quantitative Finance – Pricing of Securities
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We've walked a million miles for one of these smiles

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Why are quadratic normal volatility models analytically tractable?

Economy – Quantitative Finance – Pricing of Securities
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Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor Models

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