Option pricing
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.
The need for hybrid models
In response to the above article, the authors argue that pure firm-value approaches to default prediction are fundamentally flawed.?
Black-Scholes goes hypergeometric
Option pricing models
Hedge your Monte Carlo
Option pricing
Optional events and jumps
Masterclass – with JP Morgan