Technical paper/Computational finance

• Original research

No-arbitrage SABR

• 28 Mar 2012

• Original research

Pricing barrier and average options in a stochastic volatility environment.

• 11 Jan 2012

• Original research

Pricing convertible bonds with call protection

• 11 Jan 2012

• Original research

Minimal partial proxy simulation schemes for generic and robust Monte Carlo Greeks.

• 11 Jan 2012

• Original research

A simple discretization scheme for nonnegative diffusion processes with applications to option pricing.

• 11 Jan 2012

• Original research

An empirical comparative analysis of foreign exchange smile calibration procedures

Research Papers

• 16 Sep 2011

• Original research

Pricing timer options

• 16 Sep 2011

• Original research

Strange facts about the marginal distributions of processes based on the Ornstein-Uhlenbeck process

• 16 Sep 2011

• Original research

Robust optimization of currency portfolios

Research Papers

• 16 Sep 2011

• Original research

Fast simplified approaches to Asian option pricing

Research Papers

• 16 Jun 2011

• Original research

Fast and accurate Greeks for the LIBOR Market Model

• 16 Jun 2011

• Original research

Adaptive and high-order methods for valuing American options

• 16 Jun 2011

• Original research

Efficient Pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model

Research Papers

• 16 Jun 2011

• Original research

A multiname first-passage model for credit risk

• 22 Feb 2011

• Original research

Fast Greeks by algorithmic differentiation

• 22 Feb 2011

• Original research

Uncertain Volatility Model: A Monte-Carlo Approach

• 22 Feb 2011

• Original research

Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm

Research Papers

• 22 Feb 2011

• Original research

Pricing Energy Derivatives by Linear Programming: Tolling Agreement Contracts

• 22 Feb 2011

• Original research

Potential Future Exposure Calculations of Multi-Asset Exotic Products using the Stochastic Mesh Method

• 01 Dec 2010

• Original research

Generalized control variate methods for pricing Asian options

• 01 Dec 2010

• Risk management

Fast Valuation and Calibration of Credit Default Swaps Under Levy Dynamics

• 01 Dec 2010

• Original research

Estimating Greeks in Simulating Lévy-Driven Models

• 01 Dec 2010

• Original research

A behavioural finance-based tick-by-tick model for price and volume

• 19 Sep 2010

• Original research

The singular points binominal method for pricing American path-dependent options

• 19 Sep 2010