In this edition two new chapters, 9 and 10, on mathematical finance are added. They are
written by Dr. Farid AitSahlia, ancien eleve, who has taught such a course and worked on the …

Currently in the literature it is apparent that there exists a strong drive towards the employment
of concurrent engineering as opposed to the serial progression of products through …

This paper presents a new numerical method to solve the integral equation defining the early
exercise boundary of an American option. It is shown that the early exercise boundaries of …

… Aitsahlia and Lai … Aitsahlia and Lai … This recursive integration approach was recently
extended to the pricing of barrier options in AitSahlia and Lai (1997), and the present paper …

In this paper, the authors present a simple and accurate method for computing the values
and early exercise boundaries of American options. A key idea underlying the method is the …

Corrected random walk approximations to continuous-time optimal stopping boundaries for
Brownian motion, first introduced by Chernoff and Petkau, have provided powerful …

This paper develops a new numerical technique to price an American option written upon
an underlying asset that follows a bivariate diffusion process. The technique presented here …

Over the past few years, model complexity in quantitative finance has increased substantially
in response to earlier approaches that did not capture critical features for risk management. …

This paper investigates the impact of ENSO-based climate forecasts on optimal planting
schedules and financial yield-hedging strategies in a framework focused on downside risk. In …

The holder of a barrier option acquires option coverage on only a subset of the risky outcomes
for which a plain vaniUa option pays off; this reduces the cost of the resulting coverage so …