The authors develop a rigorous two-currency pricing framework that can be constructed
under either a domestic or a foreign currency numeraire. While plain vanilla interest rate …

Based on LIBOR Market Models, we develop a rigorous pricing framework for cross-currency
exotic interest rate instruments under a uniform probability measure and in a multifactoral …

Pricing models within the Black-Scholes framework assume that the volatility of the
underlying security remains constant over the life of the derivative, which cannot explain long-…

This paper presents a novel technique for exposing the relative nature of the passage of
time in financial markets. The construction of the stochastic volatility model based on two …

The paper continues the exploration of the novel technique of exposing the relative nature of
the passage of time in financial markets. The construction of the chosen Stochastic Volatility …

We report a simple one-step synthesis method of large single crystalline Ag (111) hexagonal
microplates with sharp edges and a size of up to tens of microns. Single silver crystals were …

… Lyudmil Zyapkov presents a novel technique of exposing the relative nature of the passage
of time in financial markets, in “Forward Volatility on a Gamma Clock and the Relativity of …

… Wolfgang Benner, Lyudmil Zyapkov …

We develop an arbitrage-free random field LIBOR market model to price cross-currency
derivatives. The uncertainty of the forward LIBOR rates of our cross-currency model is driven by …

We provide new and discrete time combinatorial approaches to evaluate Parisian options.
By using generating functions, a very useful tool in lattice path enumeration, the computation …