The third edition of this popular introduction to the classical underpinnings of the
mathematics behind finance continues to combine sound mathematical principles with …

Mathematical finance has grown into a huge area of research which requires a lot of care
and a large number of sophisticated mathematical tools. The subject draws upon quite …

The classic Black-Scholes option pricing model assumes that returns follow Brownian
motion, but return processes differ from this benchmark in at least three important ways. First …

We survey theoretical and computational problems associated with the pricing and hedging
of spread options. These options are ubiquitous in the financial markets, whether they be …

Pricing exotic options or guarantees in equity-indexed annuities can be problematic. The
authors present closed-form formulas for pricing lookback options and dynamic guarantees …

Option pricing is a tool that investors often use for the purpose of arbitrage or hedging.
However, both the BlackScholes model and the CRR model can only provide a theoretical …

In memoriam: Tomas Björk (1947–2021) | Finance and Stochastics Skip to main content
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An improved model‐free implied variation index (AVIX) is proposed in this article. The AVIX
is developed under a generalized semi‐martingale process with stochastic interest rates. An …

We study the following catastrophe option pricing model with double jump processes:(i)
Stock process of an insurance company which sells catastrophe option are described …

Commodity markets present several challenges for quantitative modeling. These include
high volatilities, small sample data sets, and physical, operational complexity. In addition …