Constant elasticity of variance
Distance to default based on the CEV–KMV model
The author applies the CEV process to the KMV model in order to assess default risk, finding that this method improves forecasting ability.
Exotic spectra
Eigenfunction expansions can also be applied to finance. The method is particularly suited to barrier and Asian options, with convergence properties that compare favourably with Monte Carlo.
Black-Scholes goes hypergeometric
Option pricing models