Related papers: Another Look at the Ho-Lee Bond Option Pricing Mod…
Developments in finance industry and academic research has led to innovative financial products. This paper presents an alternative approach to price American options. Our approach utilizes famous \cite{heath1992bond} ("HJM") technique to…
In this paper, we present a reduced basis method for pricing European and American options based on the Black-Scholes and Heston model. To tackle each model numerically, we formulate the problem in terms of a time dependent variational…
We consider the scenario where the parameters of a probabilistic model are expected to vary over time. We construct a novel prior distribution that promotes sparsity and adapts the strength of correlation between parameters at successive…
We consider the one-factor model of commodities for which the parameters of the model depend upon the stock price or on the time. For that model we study the existence of group-invariant transformations. When the parameters are constant,…
In the option valuation literature, the shortcomings of one factor stochastic volatility models have traditionally been addressed by adding jumps to the stock price process. An alternate approach in the context of option pricing and…
This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a num\'eraire. It is shown that the presence of arbitrarily small…
In this paper, we study a type of reflected BSDE with a constraint and introduce a new kind of nonlinear expectation via BSDE with a constraint and prove the Doob-Meyer decomposition with respect to the super(sub)martingale introduced by…
In this paper, we focus on option pricing models based on space-time fractional diffusion. We briefly revise recent results which show that the option price can be represented in the terms of rapidly converging double-series and apply these…
Over the last decade, nonparametric methods have gained increasing attention for modeling complex data structures due to their flexibility and minimal structural assumptions. In this paper, we study a general multivariate nonparametric…
There is currently a focus on statistical methods which can use historical trial information to help accelerate the discovery, development and delivery of medicine. Bayesian methods can be constructed so that the borrowing is "dynamic" in…
We establish explicit socially optimal rules for an irreversible investment deci- sion with time-to-build and uncertainty. Assuming a price sensitive demand function with a random intercept, we provide comparative statics and economic…
In this paper we introduce a simple continuous-time asset pricing framework, based on general multi-dimensional diffusion processes, that combines semi-analytic pricing with a nonlinear specification for the market price of risk. Our…
Motivated by applications to bond markets, we propose a multivariate framework for discrete time financial markets with proportional transaction costs and a countable infinite number of tradable assets. We show that the no-arbitrage of…
This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes.…
Carr and Wu (2004), henceforth CW, developed a framework that encompasses almost all of the continuous-time models proposed in the option pricing literature. Their main result hinges on the stopping time property of the time changes, but…
Quantum systems with adiabatic classical parameters are widely studied, e.g., in the modern holonomic quantum computation. We here provide complete geometric quantization of a Hamiltonian system with time-dependent parameters, without the…
The two main approaches in credit risk are the structural approach pioneered in Merton (1974) and the reduced-form framework proposed in Jarrow & Turnbull (1995) and in Artzner & Delbaen (1995). The goal of this article is to provide a…
We introduce an algebraic methodology for designing exactly-solvable Lie model Hamiltonians. The idea consists in looking at the algebra generated by bond operators. We illustrate how this method can be applied to solve numerous problems of…
Unconventional phases often occur where two competing mechanisms compensate. An excellent example is the ionic Hubbard model where the alternating local potential $\delta$, favoring a band insulator (BI), competes with the local repulsion…
We follow the lines of Musiela and Rutkowski and extend their interpolation method to models with jumps. Together with an extension method for the tenor structure of a given LIBOR market model (LMM) we get an infinite LIBOR termstructure.…