Stochastic calculus for finance. II: Continuous-time models.

Publication date: 12 October 2004

Published in: Springer Finance (Search for Journal in Brave)

jump processes exotic options computational finance continuous-time models change of numéraire Black-Scholes-Merton equation American derivative securities Brownian motion asset forward measures interest-rate models LIBOR models multidimensional market model risk-neutral pricing and measures stochastic calculus for finance

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91Gxx)

Related Items

Analysis of a stochastic Lotka–Volterra competitive system with infinite delays and Ornstein–Uhlenbeck process ⋮ Quasi-reversibility method and neural network machine learning for forecasting of stock option prices ⋮ Probabilistic Solutions for a Class of Path-Dependent Hamilton-Jacobi-Bellman Equations ⋮ ADI finite difference schemes for option pricing in the Heston model with correlation ⋮ A system of variational inequalities arising from finite expiry Russian option with two regimes ⋮ Optimal regulators for a class of nonlinear stochastic systems ⋮ Appraising the convenience of a call-based dynamical hedging strategy for an oil-company ⋮ Distributional properties of continuous time processes: from CIR to bates ⋮ Uncovering a Two-Phase Dynamics from a Dollar Exchange Model with Bank and Debt ⋮ An application of the Malliavin calculus for calculating the precise and approximate prices of options with stochastic volatility ⋮ The size distribution of ‘cities’ delineated with a network theory‐based method and mobile phone GPS data ⋮ Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business ⋮ Optimal regulator for a class of nonlinear stochastic systems with random coefficients ⋮ Extracting a function encoded in amplitudes of a quantum state by tensor network and orthogonal function expansion ⋮ Time averaging, ageing and delay analysis of financial time series ⋮ Expected vs. real transaction costs in European option pricing ⋮ Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility ⋮ On current and future carbon prices in a risky world ⋮ Derivation of wealth distributions from biased exchange of money ⋮ Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach ⋮ An efficient algorithm for pricing reinsurance contract under the regime-switching model ⋮ Bayesian uncertainty quantification of local volatility model ⋮ Finite horizon sequential detection with exponential penalty for the delay ⋮ A new options pricing method: semi-stochastic kernel regression method with constraints ⋮ A game-theoretic perspective to study a nonlinear stochastic parabolic model of population competition ⋮ Optimal Discrete Hedging in Garman-Kohlhagen Model with Liquidity Risk ⋮ Connections between the extreme points for Vandermonde determinants and minimizing risk measure in financial mathematics ⋮ Continuity correction: on the pricing of discrete double barrier options ⋮ Optimal investment in a general stochastic factor framework under model uncertainty ⋮ Decentralized Governance of Stablecoins with Closed Form Valuation ⋮ A free boundary problem for a flexible loan based on the borrower asset ⋮ Asset bubbles, entrepreneurial risks, and economic growth ⋮ How damaging are environmental policy targets in terms of welfare? ⋮ A non-stochastic control with admissible probabilities for SDDEs, application to linear reactors ⋮ Mean-reverting schemes for solving the CIR model ⋮ The influence of financial practice in developing mathematical probability. Submitted for a special edition of \textit{Synthese}, ``Enabling mathematical cultures ⋮ Equations related to stochastic processes: semigroup approach and Fourier transform ⋮ Research on investment incorporating both environmental performance and long (short) term financial performance of firms ⋮ A spatial measure-valued model for radiation-induced DNA damage kinetics and repair under protracted irradiation condition ⋮ Statistical arbitrage: factor investing approach ⋮ Unnamed Item ⋮ Non-equilibrium allele frequency spectra via spectral methods ⋮ Optimal investment strategy for asset-liability management under the Heston model ⋮ Necessary and sufficient conditions for ergodicity of CIR type SDEs with Markov switching ⋮ A collateralized loan’s loss under a quadratic Gaussian default intensity process ⋮ Non-equilibrium allele frequency spectra via spectral methods ⋮ Test for dispersion constancy in stochastic differential equation models ⋮ RISK ANALYSIS OF ANNUITY CONVERSION OPTIONS IN A STOCHASTIC MORTALITY ENVIRONMENT ⋮ BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE ⋮ Modelling Credit Risk in the Jump Threshold Framework ⋮ Polynomial Approximation to Option Prices under Regime Switching ⋮ Maximum Principles for Boundary-Degenerate Second Order Linear Elliptic Differential Operators ⋮ A jump telegraph model for option pricing ⋮ An inhomogeneous semi-Markov model for the term structure of credit risk spreads ⋮ Book Review: Stochastic calculus for finance ⋮ Closed Formula for Options with Discrete Dividends and Its Derivatives ⋮ On Suboptimality of Delta Hedging for Asian Options ⋮ Elementary stochastic calculus for finance with infinitesimals ⋮ The hexanomial lattice for pricing multi-asset options ⋮ Nonlinear wave equation in an inhomogeneous medium from non-standard singular Lagrangians functional with two occurrences of integrals ⋮ Pricing geometric Asian power options under mixed fractional Brownian motion environment ⋮ An actuarial approach to pricing barrier options ⋮ Pricing credit default swaps under a multi-scale stochastic volatility model ⋮ Entropy measure of credit risk in highly correlated markets ⋮ Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal's simplex ⋮ Statutory financial reporting for variable annuity guaranteed death benefits: market practice, mathematical modeling and computation ⋮ Set-valued Brownian motion ⋮ Optimal restricted quadratic estimator of integrated volatility ⋮ A new model for realistic random perturbations of stochastic oscillators ⋮ Analysis on singular spaces: Lie manifolds and operator algebras ⋮ Optimal hedging of basket barrier options with additive models and its application to equity value separation problem ⋮ On the effect of Bank of Japan's outright purchase on the JGB yield curve ⋮ Optimal algorithms for $k$-search with application in option pricing ⋮ The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate ⋮ The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes ⋮ Sensitivity analysis of the optimal exercise boundary of the American put option ⋮ Free boundary problem of Barenblatt equation in stochastic control ⋮ Optimal search for parameters in Monte Carlo simulation for derivative pricing ⋮ A tractable interest rate model with explicit monetary policy rates ⋮ When $q$ theory meets large losses risks and agency conflicts ⋮ Investment timing under hybrid stochastic and local volatility ⋮ White noise calculus in applications to stochastic equations in Hilbert spaces ⋮ Pricing and hedging basket options with exact moment matching ⋮ Valuing catastrophe bonds involving correlation and CIR interest rate model ⋮ Approximate arbitrage-free option pricing under the SABR model ⋮ Robust valuation, arbitrage ambiguity and profit \& loss analysis ⋮ An optimal multiple stopping approach to infrastructure investment decisions ⋮ A trajectorial interpretation of Doob's martingale inequalities ⋮ The jump size distribution of the commodity spot price and its effect on futures and option prices ⋮ The role of the risk-neutral jump size distribution in single-factor interest rate models ⋮ Kernel-correlated Lévy field driven forward rate and application to derivative pricing ⋮ Multistage stochastic programming in strategic telecommunication network planning ⋮ A closed-form solution for the continuous-time consumption model with endogenous labor income ⋮ Multidimensional quasi-Monte Carlo Malliavin Greeks ⋮ Investment and capital structure decisions of foreign subsidiary with international debt shifting and exchange rate uncertainty ⋮ A multiplicative seasonal component in commodity derivative pricing ⋮ Pricing maturity guarantee under a refracted Brownian motion ⋮ Multi-period multi-criteria (MPMC) valuation of American options based on entropy optimization principles ⋮ The worst case for real options ⋮ Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index ⋮ Fractional functional with two occurrences of integrals and asymptotic optimal change of drift in the Black-Scholes model ⋮ Quantile hedging pension payoffs: an analysis of investment incentives ⋮ Delta-gamma hedging of mortality and interest rate risk ⋮ New conditions for the existence of Radner equilibrium with infinitely many states ⋮ Stability of central finite difference schemes for the Heston PDE ⋮ On identification of the threshold diffusion processes ⋮ From compression to compressed sensing ⋮ Long-term insurance products and volatility under the Solvency II framework ⋮ Explicit formulas for pricing of callable mortgage-backed securities in a case of prepayment rate negatively correlated with interest rates ⋮ A free boundary problem arising from a stochastic optimal control model under controllable risk ⋮ $C^{1,1}$ regularity for degenerate elliptic obstacle problems ⋮ Stochastic dominance of portfolio insurance strategies OBPI versus CPPI ⋮ Using the continuous price as control variate for discretely monitored options ⋮ Properties of optimal smooth functions in additive models for hedging multivariate derivatives ⋮ On valuing and hedging European options when volatility is estimated directly ⋮ Option pricing under a gamma-modulated diffusion process ⋮ The vanishing viscosity limit for a system of H-J equations related to a debt management problem ⋮ Pricing spread options with stochastic interest rates ⋮ Backward stochastic differential equations approach to hedging, option pricing, and insurance problems ⋮ Ratchet consumption over finite and infinite planning horizons ⋮ The pricing of vulnerable options in a fractional Brownian motion environment ⋮ The analysis of corporate bond valuation under an infinite dimensional compound Poisson framework ⋮ Total return swap valuation with counterparty risk and interest rate risk ⋮ On the distribution of extended CIR model ⋮ Pricing contingent convertible bonds: an analytical approach based on two-dimensional stochastic processes ⋮ Is Brownian motion sensitive to geometry fluctuations? ⋮ Relationship between least squares Monte Carlo and approximate linear programming ⋮ A Markov-modulated model for stocks paying discrete dividends ⋮ Optimal design of profit sharing rates by FFT ⋮ On the robustness of longevity risk pricing ⋮ A new stability result for the modified Craig-Sneyd scheme applied to two-dimensional convection-diffusion equations with mixed derivatives ⋮ Irreversible investment and discounting: an arbitrage pricing approach ⋮ Analytic crossing probabilities for certain barriers by Brownian motion ⋮ Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models ⋮ Convergence of switching diffusions ⋮ A further study of the choice between two hedging strategies -- the continuous case ⋮ Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework ⋮ Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures ⋮ Comparison of least squares Monte Carlo methods with applications to energy real options ⋮ Buy now and price later: supply contracts with time-consistent mean-variance financial hedging ⋮ Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach ⋮ Solution of nonlinear stochastic equations with a generator of a semigroup discontinuous at zero ⋮ From discrete to continuous time evolutionary finance models ⋮ The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence ⋮ Convenience yields ⋮ The valuation of convertible bonds with numeraire changes ⋮ On the construction and complexity of the bivariate lattice with stochastic interest rate models ⋮ Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term ⋮ Stochastic integral with respect to set-valued square integrable martingales ⋮ Path integral pricing of wasabi option in the Black-Scholes model ⋮ A secret to create a complete market from an incomplete market ⋮ A general control variate method for option pricing under Lévy processes ⋮ Pricing convertible bonds and change of probability measure ⋮ On first passage times of a hyper-exponential jump diffusion process ⋮ The random projection method in goodness of fit for functional data ⋮ Leverage, options liabilities, and corporate bond pricing ⋮ On the asymptotic behavior of the parameter estimators for some diffusion processes: application to neuronal models ⋮ The early exercise boundary under the jump to default extended CEV model ⋮ Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models ⋮ Dynamic Fund Protection for Property Markets ⋮ Extension of stochastic volatility equity models with the Hull–White interest rate process ⋮ A MOMENT MATCHING APPROACH TO THE VALUATION OF A VOLUME WEIGHTED AVERAGE PRICE OPTION ⋮ On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions ⋮ An exploration of a balanced up-downwind scheme for solving Heston volatility model equations on variable grids ⋮ Stock Loans in Incomplete Markets ⋮ A long time asymptotic behavior of the free boundary for an American put ⋮ Enhanced equity-credit modelling for contingent convertibles ⋮ CALIBRATING LOCAL VOLATILITY MODELS WITH STOCHASTIC DRIFT AND DIFFUSION ⋮ Dividend derivatives ⋮ Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions ⋮ On Pricing American Put Option on a Fixed Term: A Monte Carlo Approach ⋮ Arithmetic variance swaps ⋮ Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance ⋮ Pricing collateralised options in the presence of counterparty credit risk: An extension of the Heston–Nandi model ⋮ A fast algorithm for simulation of rough volatility models ⋮ On the First Passage Time Under Regime-Switching with Jumps ⋮ OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION ⋮ Pricing renewable identification numbers under uncertainty ⋮ Quanto option pricing with a jump diffusion process ⋮ Stochastic PDEs in $\mathcal{S}'$ for SDEs driven by Lévy noise ⋮ Impulse Control of Interest Rates ⋮ Strong solutions for jump-type stochastic differential equations with non-Lipschitz coefficients ⋮ Ergodicity of CIR type SDEs driven by stable processes with random switching ⋮ Kernel-based collocation methods for Heath–Jarrow–Morton models with Musiela parametrization ⋮ Optimization of stock trading with additional information by limit order book ⋮ Financial markets and the phase transition between water and steam ⋮ Multilevel Monte Carlo Approximation of Distribution Functions and Densities ⋮ On perpetual American options in a multidimensional Black–Scholes model ⋮ From Minority Game to Black&Scholes Pricing ⋮ Market calibration under a long memory stochastic volatility model ⋮ Options on bonds: implied volatilities from affine short-rate dynamics ⋮ Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility ⋮ On asymptotic behavior of solutions of linear inhomogeneous stochastic differential equations with correlated inputs ⋮ Pricing European options with stochastic volatility under the minimal entropy martingale measure ⋮ Pricing extreme mortality risk in the wake of the COVID-19 pandemic ⋮ WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS ⋮ Construction of a Mean Square Error Adaptive Euler–Maruyama Method With Applications in Multilevel Monte Carlo ⋮ No free lunch for markets with multiple numéraires ⋮ Deep physics corrector: a physics enhanced deep learning architecture for solving stochastic differential equations ⋮ An optimal portfolio and consumption problem with a benchmark and partial information ⋮ Optimal investment strategy for an insurer with partial information in capital and insurance markets ⋮ Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement ⋮ A Stochastic Model of Optimal Debt Management and Bankruptcy ⋮ Fast and precise inference on diffusivity in interacting particle systems ⋮ SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS ⋮ Representation of exchange option prices under stochastic volatility jump-diffusion dynamics ⋮ Transmission Valuation Analysis based on Real Options with Price Spikes ⋮ On the arbitrage price of European call options ⋮ The survival probability of the SABR model: asymptotics and application ⋮ Enlargement of Filtration in Discrete Time ⋮ Stochastic Filtering Methods in Electronic Trading ⋮ On the interpretation of Stratonovich calculus ⋮ Option pricing formulas under a change of numèraire ⋮ Analysis of a jump-diffusion option pricing model with serially correlated jump sizes ⋮ Perpetual American vanilla option pricing under single regime change risk: an exhaustive study ⋮ ASSET PRICE BUBBLES IN INCOMPLETE MARKETS ⋮ Constrained Brownian processes and constrained Brownian bridges ⋮ A free boundary problem arising from pricing convertible bond ⋮ A review of numerical methods for nonlinear partial differential equations ⋮ Some optimal variance stopping problems revisited with an application to the Italian Ftse-Mib stock index ⋮ AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS ⋮ Computation of the effects of uncertainty in volatility on option pricing and hedging ⋮ DERIVATIVES IN THE MEAN OF RANDOM PROCESSES AND DIFFUSION MODELS IN ECONOMICS ⋮ Exchange option pricing in jump-diffusion models based on esscher transform ⋮ MATHEMATICAL PROPERTIES OF AMERICAN CHOOSER OPTIONS ⋮ Emulation of Stochastic Simulators Using Generalized Lambda Models ⋮ A Generalization of Geometric Brownian Motion with Applications ⋮ Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims ⋮ Some applications ofM-ary detection in quantitative finance ⋮ Statistical arbitrage in the Black–Scholes framework ⋮ Dividend derivatives ⋮ Unnamed Item ⋮ Fitted finite volume method for pricing CO₂futures option based on the underlying with non-log-normal distribution ⋮ A model of debt with bankruptcy risk and currency devaluation ⋮ An Integral-Equation Approach for Defaultable Bond Prices with Application to Credit Spreads ⋮ GLOBAL AND REGIONAL RISKS IN CURRENCY RETURNS ⋮ Method of Lines Transpose: High Order L-Stable ${\mathcal O}(N)$ Schemes for Parabolic Equations Using Successive Convolution ⋮ ANALYTICAL PATH-INTEGRAL PRICING OF DETERMINISTIC MOVING-BARRIER OPTIONS UNDER NON-GAUSSIAN DISTRIBUTIONS ⋮ DYNAMIC MEAN-VARIANCE PORTFOLIOS WITH RISK BUDGET ⋮ Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model ⋮ Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios ⋮ Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model ⋮ Valuing qualitative options with stochastic volatility ⋮ Optimal investment and risk control policies for an insurer in an incomplete market ⋮ Applications of the Quadratic Covariation Differentiation Theory: Variants of the Clark-Ocone and Stroock's Formulas ⋮ A Mathematical Theory of Financial Bubbles ⋮ A Free Boundary Problem of Liquidity Management for Optimal Dividend and Insurance in Finite Horizon ⋮ Partial differential equations for Asian option prices ⋮ Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs ⋮ A forward equation for barrier options under the Brunick & Shreve Markovian projection ⋮ Quantification of model uncertainty on path-spaceviagoal-oriented relative entropy ⋮ Exotic Properties of Non Homogeneous Markov and Semi-Markov Systems ⋮ Solving high-dimensional optimal stopping problems using deep learning ⋮ Optimal control for a nonlinear stochastic parabolic model of population competition ⋮ Default risk in interest rate derivatives with stochastic volatility ⋮ An efficient exponential twisting importance sampling technique for pricing financial derivatives ⋮ Hedging error estimate of the american put option problem in jump-diffusion processes ⋮ Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes ⋮ Two-dimensional stochastic dynamics as model for time evolution of the financial market ⋮ Parallel search for information in continuous time -- optimal stopping and geometry of the PDE ⋮ Path-dependent game options with Asian features ⋮ A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model ⋮ Valuation and risk assessment of participating life insurance in the presence of credit risk ⋮ On approximation of transition densities in calibration of 1-dimensional stochastic models of asset prices ⋮ Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump ⋮ Lie symmetries, group-invariant solutions and conservation laws of the Vasicek pricing equation of mathematical finance ⋮ Price dynamics of the financial markets using the stochastic differential equation for a potential double well ⋮ Stochastic process with multiplicative structure for the dynamic behavior of the financial market ⋮ General solution of the Black-Scholes boundary-value problem ⋮ Superstatistics with cut-off tails for financial time series ⋮ Breaks down of the modeling of the financial market with addition of non-linear terms in the Itô stochastic process ⋮ Pricing of FX options in the MPT/CIR jump-diffusion model with approximative fractional stochastic volatility ⋮ The total return swap pricing model under fuzzy random environments ⋮ Pricing formula for exotic options with assets exposed to counterparty risk ⋮ Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims ⋮ Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory ⋮ Modeling pandemic mortality risk and its application to mortality-linked security pricing ⋮ Endogenous current coupons ⋮ Option pricing for path-dependent options with assets exposed to multiple defaults risk ⋮ Computational technique for simulating variable-order fractional Heston model with application in US stock market ⋮ Portfolio selection of a closed-end mutual fund ⋮ Unifying exotic option closed formulas ⋮ Brownian meanders, importance sampling and unbiased simulation of diffusion extremes ⋮ Option pricing in illiquid markets: a fractional jump-diffusion approach ⋮ Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching ⋮ Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model ⋮ Inference on an heteroscedastic Gompertz tumor growth model ⋮ Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time ⋮ Efficient Monte Carlo simulation for integral functionals of Brownian motion ⋮ A feasible natural hedging strategy for insurance companies ⋮ On the valuation of reverse mortgages with regular tenure payments ⋮ Mortality surface by means of continuous time cohort models ⋮ Path-dependent game options: a lookback case ⋮ A solution method for heterogeneity involving present bias ⋮ Stability of ADI schemes for multidimensional diffusion equations with mixed derivative terms ⋮ The randomly stopped geometric Brownian motion ⋮ A path-independent approach to integrated variance under the CEV model ⋮ Finite horizon portfolio selection problem with a drawdown constraint on consumption ⋮ Robust arbitrage conditions for financial markets ⋮ Utility maximization with habit formation of interaction ⋮ Effect of institutional deleveraging on option valuation problems ⋮ European option pricing under Wishart processes ⋮ Scaling limits of processes with fast nonlinear mean reversion ⋮ An infinite-dimensional model of liquidity in financial markets ⋮ A European option pricing model in a stochastic and fuzzy environment ⋮ Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality ⋮ A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model ⋮ High order splitting schemes with complex timesteps and their application in mathematical finance ⋮ Recovery of local volatility for financial assets with mean-reverting price processes ⋮ An introduction to the Hilbert-Schmidt SVD using iterated Brownian bridge kernels ⋮ Continuous and tractable models for the variation of evolutionary rates ⋮ Understanding delta-hedged option returns in stochastic volatility environments ⋮ Dynamic asset allocation under VaR constraint with stochastic interest rates ⋮ The value of interest rate guarantees in participating life insurance contracts: status quo and alternative product design ⋮ Pricing variable annuity guarantees in a local volatility framework ⋮ Stability of central finite difference schemes on non-uniform grids for the Black-Scholes equation ⋮ Saddlepoint approximations for affine jump-diffusion models ⋮ Interest rate term structure modelling ⋮ Time-consistent portfolio optimization ⋮ The dynamic programming equation for a stochastic volatility optimal control problem ⋮ A model of investment under uncertainty with time to build, market incompleteness and risk aversion ⋮ Pricing European options in a discrete time model for the limit order book ⋮ Numerical approximation of high-dimensional Fokker-Planck equations with polynomial coefficients ⋮ CAM stochastic volatility model for option pricing ⋮ Optimal portfolio choice for an insurer with loss aversion ⋮ Power penalty method for solving HJB equations arising from finance ⋮ Dyson type formula for pure jump Lévy processes with some applications to finance ⋮ Mimicking self-similar processes ⋮ Asymptotic expansion for some local volatility models arising in finance ⋮ Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods ⋮ Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge ⋮ Long-term behavior of stochastic interest rate models with Markov switching ⋮ Piecewise constant martingales and lazy clocks ⋮ How fast does it diverge? Discrete hedging error with transaction costs ⋮ Ambiguity in dynamic contracts ⋮ An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model. ⋮ The log-asset dynamic with Euler-Maruyama scheme under Wishart processes ⋮ Variance and volatility swaps valuations with the stochastic liquidity risk ⋮ A continuous-time model for valuing foreign exchange options ⋮ A stochastic string with a compound Poisson process ⋮ An alternative form to calibrate the correlated Stein-Stein option pricing model ⋮ Dynamics of stocks prices based in the Black \& Scholes equation and nonlinear stochastic differentials equations ⋮ Asymptotic exponential arbitrage in the Schwartz commodity futures model ⋮ A stochastic model for cell adhesion to the vascular wall ⋮ Perturbed iterate SGD for Lipschitz continuous loss functions ⋮ Flexibility to switch project size: a real option application for photovoltaic investment valuation ⋮ Deep combinatorial optimisation for optimal stopping time problems: application to swing options pricing. ⋮ Lookback option pricing under the double Heston model using a deep learning algorithm ⋮ Markets with random lifetimes and private values: mean reversion and option to trade ⋮ On the practical point of view of option pricing ⋮ On the existence and the Hölder regularity of the local time of the Brownian bridge ⋮ Evaluation and default time for companies with uncertain cash flows ⋮ Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate ⋮ Optimal life schedule with stochastic growth in age-size structured models: theory and an application ⋮ A simple and efficient numerical method for pricing discretely monitored early-exercise options ⋮ Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models ⋮ Optimal control of the SIR model with constrained policy, with an application to COVID-19 ⋮ Inertial-type incremental constraint projection method for solving variational inequalities without Lipschitz continuity