Add to ORKGWe generalize the Piterbarg [1] model to include (1) bilateral default risk as in Burgard and Kjaer [2], and (2) jumps in the dynamics of the underlying asset using general classes of Lévy processes of exponential type. We develop an efficient explicit-implicit scheme for European options and barrier options taking CVA-FVA into account. We highlight the importance of this work in the context of trading, pricing and management a derivative portfolio given the trajectory of regulations
Mestrado em Matemática FinanceiraPrices fluctuations in markets, both liquid and illiquid, exhibit d...
This thesis deals with option pricing in exponential Lévy models. We establish the relationship betw...
Abstract. This paper discusses extensions of the implied diffusion approach of Dupire (1994) to asse...
In this thesis we consider two models for the computation of option prices. The first one is a gener...
This dissertation studies option pricing, portfolio selection, and risk management assuming exponent...
We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential ...
Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdad...
Most of the recent literature dealing with the modeling of financial assets assumes that the underly...
We shall consider both European and idscretely monitored Exotic options (Bermudan and Discrete Barri...
We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential ...
In this paper, we introduce a class of quite general Lévy processes, with both a diffusion part and ...
In this paper, we consider the analytical pricing of European path-independent options under the CGM...
The goal of the paper is to show that some types of Levy processes such as the hyperbolic motion and...
In this thesis, various new methodologies for pricing multivariate path dependent options in closed ...
We illustrate the method by implementing it for a range of models, including a local L´evy process a...
Mestrado em Matemática FinanceiraPrices fluctuations in markets, both liquid and illiquid, exhibit d...
This thesis deals with option pricing in exponential Lévy models. We establish the relationship betw...
Abstract. This paper discusses extensions of the implied diffusion approach of Dupire (1994) to asse...
In this thesis we consider two models for the computation of option prices. The first one is a gener...
This dissertation studies option pricing, portfolio selection, and risk management assuming exponent...
We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential ...
Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdad...
Most of the recent literature dealing with the modeling of financial assets assumes that the underly...
We shall consider both European and idscretely monitored Exotic options (Bermudan and Discrete Barri...
We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential ...
In this paper, we introduce a class of quite general Lévy processes, with both a diffusion part and ...
In this paper, we consider the analytical pricing of European path-independent options under the CGM...
The goal of the paper is to show that some types of Levy processes such as the hyperbolic motion and...
In this thesis, various new methodologies for pricing multivariate path dependent options in closed ...
We illustrate the method by implementing it for a range of models, including a local L´evy process a...
Mestrado em Matemática FinanceiraPrices fluctuations in markets, both liquid and illiquid, exhibit d...
This thesis deals with option pricing in exponential Lévy models. We establish the relationship betw...
Abstract. This paper discusses extensions of the implied diffusion approach of Dupire (1994) to asse...