Finite element methods are described for valuing lookback options under stochastic
volatility. Particular attention is paid to the method for handling the boundary equations. For …

Many introductory books on mathematical finance also outline some com puter algorithms.
My goal is to contribute a closer look at algorithmic issues that arise from complex forms of …

The standard assumption for an underlying asset's returns process is the lognormal
diffusion. This works quite well for individual assets. Portfolios and indexes present a …

This study adopts the unbounded-system distribution of the Johnson (1949) distribution
family to approximate the basket/spread distribution and derive a versatile pricing model …

For a plain vanilla call and three of the more popular exotic (path-dependent) types of
options, this study examines the impact of symmetric and asymmetric GARCH processes in …

Numerous exotic options have been tailor-made over the last twenty years to meet investors'
specific needs. This article aims to propose an intelligible method for classifying the most …

Individual components of financial option portfolios cannot be evaluated independently
under nonlinear models in mathematical finance. This entails increased algorithmic …

In several of the preceding chapters reference has been made to the use of options in
creating special types of payoff profile. Indeed Chapter 1 provided an intuitive illustration of …

Since the European (vanilla) option was priced by Black and Scholes (1973), financial
options have become increasingly complex. The need for efficient pricing procedures is …

Zusammenfassung Das Kapitel „Besondere Herausforderungen beim Derivateeinsatz “ist
sowas wie der Beipackzettel für Derivate–umfangreich, wie das nun einmal bei …