This paper analyses the robustness of Least-Squares Monte Carlo, a technique proposed by
Longstaff and Schwartz (2001) for pricing American options. This method is based on least-…

This paper reformulates the stochastic string model of Santa-Clara and Sornette using
stochastic calculus with continuous semimartingales. We present some new results, such as: (a) …

A common way to incorporate discontinuities in asset returns is to add a Poisson process to
a Brownian motion. The jump-diffusion process provides probability distributions that …

We propose a valuation framework for pricing European call warrants on the issuer’s own
stock that allows for debt in the issuer firm. In contrast to other works that also price warrants …

We present the stochastic string model of Santa-Clara and Sornette (2001), as reformulated
by Bueno-Guerrero et al. (2015), as a unifying theory of the continuous-time modeling of the …

We study the fitting of the euro yield curve with the Longstaff and Schwartz (1992)(LS) two-factor
general equilibrium model and the Schaefer and Schwartz (1984)(SS) two-factor …

In the traditional literature on firm models it is generally accepted that secured debt reduces
the agency costs of debt, as it alleviates the underinvestment and overinvestment problems. …

… Regarding the probabilistic framework, we consider a filtered complete probability space
( Ω , F , F , P ) satisfying the usual hypotheses. We also assume that F = F Υ where Υ …

We study European options on the ratio of the stock price to its average and vice versa. Some
of these options have been traded in the Australian Stock Exchange since 1992, thus we …

This article prices caps and swaptions in the Spanish market using the Vasicek, Cox, Ingersoll,
and Ross and Hull and White (HW) models. Derivative prices obtained with the Vasicek …