Originally published in 2003, Mathematical Techniques in Finance has become a standard
textbook for master's-level finance courses containing a significant quantitative element …

American options on the S&P 500 index futures that violate the stochastic dominance
bounds of Constantinides and Perrakis (2009) from 1983 to 2006 are identified as …

This paper presents a semi-analytical valuation method for basket credit derivatives in a
flexible intensity-based model. Default intensities are modelled as heterogeneous …

This paper is concerned with fast Fourier transform (FFT) approach to option valuation,
where the underlying asset price is governed by a regime-switching geometric Brownian …

Supercharge options analytics and hedging using the power of Python Derivatives Analytics
with Python shows you how to implement market-consistent valuation and hedging …

We suggest an improved FFT pricing algorithm for discretely sampled Asian options with
general independently distributed returns in the underlying. Our work complements the …

This paper discusses a new pricing method of European options through the binomial tree
model using a discrete cosine transform. The discrete cosine transform has been used as a …

This paper presents computational techniques that make a certain class of fully dynamic
intensity-based models for portfolio credit risk, along the lines of Duffie and Gârleanu (2001) …

Numerous studies present strong empirical evidence that certain financial assets may
exhibit mean reversion, stochastic volatility or jumps. This paper explores the valuation of …

Page 1 LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS Björn Lutz Pricing
of Derivatives on Mean-Reverting Assets 2. Springer Page 2 Lecture Notes in Economics and …