Original research Computing hitting time densities for CIR and OU diffusions: applications to mean-reverting models 22 Jul 2004
Original research Option pricing by transform methods: extensions, unification and error control 13 Apr 2004
Original research Valuing path-dependent options in the variance-gamma model by Monte Carlo with a gamma bridge 13 Jan 2004
Original research Arbitrage-free estimation of the risk-neutral density from the implied volatility smile 01 Oct 2003
Original research Semi-analytical pricing of defaultable bonds in a signaling jump-default model 28 Mar 2003
Original research Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling 28 Mar 2003
Original research Volatility estimation with functional gradient descent for very high-dimensional financial time series 28 Mar 2003
Original research Path-dependent option pricing: the path integral partial averaging method 20 Jan 2003
Original research Fast at-the-money calibration of the Libor market model using Lagrange multipliers 20 Jan 2003
Original research Analytical and Monte Carlo swaption pricing under the forward swap measure 24 Sep 2002
