This paper presents a non–technical account of the developments in tree–based methods for
the analysis of survival data with censoring. This review describes the initial developments, …

We propose a dynamic programming (DP) approach for pricing options embedded in bonds,
the focus being on call and put options with advance notice. An efficient procedure is …

The aim of this paper is to propose a new survival tree method for discrete-time survival
data with time-varying covariates. This method can accommodate simultaneously time-varying …

Tree‐based methods are frequently used in studies with censored survival time. Their structure
and ease of interpretability make them useful to identify prognostic factors and to predict …

Pricing European-style Asian options based on the arithmetic average, under the Black and
Scholes model, involves estimating an integral (a mathematical expectation) for which no …

Installment options are Bermudan-style options where the holder periodically decides whether
to exercise or not and then to keep the option alive or not (by paying the installment). We …

In this paper, we develop an efficient algorithm to value options under discrete-time GARCH
processes. We propose a procedure based on dynamic programming coupled with …

Most structural models for valuing corporate securities assume a geometric Brownian
motion to describe the value of a firm’s assets. However, this does not reflect market stylized …

We design and implement a dynamic program for valuing corporate securities, seen as
derivatives on a firm’s assets, and computing the term structure of yield spreads and default …

We illustrate by numerical examples how certain variance reduction methods dramatically
improve the efficiency of Monte Carlo simulation for option pricing and other estimation …