This paper develops a path‐dependent currency option pricing framework in which the
exchange rate follows a mean‐reverting lognormal process. Analytical solutions are derived …

We consider an extended constant elasticity of variance (CEV) model in which the elasticity
follows a stochastic process driven by a fast mean-reverting Ornstein–Uhlenbeck process …

We study the intra-horizon value at risk (iVaR) in a general jump diffusion setup and propose
a new model of asset returns called displaced mixed-exponential model, which can …

This paper complements the extant literature to evaluate the prices of dynamic guaranteed
funds when the price of underlying naked fund follows a double exponential jump-diffusion …

We present a study of Jerome Kerviel, a trader at Socidtd Gdndrale, and how he racked up
positions far exceeding his authorized risk limits resulting in a spectacular loss and in the …

This thesis uses the Laplace transform of the probability distributions of the minimum and
maximum asset prices and of the expected value of the terminal payoff of a down-and-out …

Turbo warrants are liquidly traded financial derivative securities in over-the-counter and
exchange markets in Asia and Europe. The structure of turbo warrants is similar to barrier …

This paper considers the pricing of turbo warrants under a hybrid stochastic and local
volatility model. The model consists of the constant elasticity of variance model incorporated …

The LIBOR market model (LMM) has become the standard model for many kinds of interest
rate derivatives, such as cap contracts. It assumes that the distribution of the one-period …

This article deals with the pricing of turbo warrants and perpetual turbo warrants.(Non
perpetual) turbo warrants have already been treated in several articles, but no application …