We use a case study of a pension plan wishing to hedge the longevity risk in its pension
liabilities at a future date. The plan has the choice of using either a customised hedge or an …

Numerous publications take a perfect recovery of the actual parameters during a calibration
of stochastic volatility models, such as the Heston model and other continuous option pricing …

In this paper, we consider the problem of pricing a variance swap whose underlying asset
price dynamics is modeled under a hybrid framework of constant elasticity of variance and …

Calibrating option pricing models to market prices often leads to optimisation problems to
which standard methods (such as those based on gradients) cannot be applied. We …

Luciano and Semeraro proposed a class of multivariate asset pricing models where the
asset log-returns are modeled by a multivariate Brownian motion time-changed by a …

Traditional debugging and fault localization methods have addressed localization of sources
of software failures. While these methods are effective in general, they are not tailored to an …

Adequately specifying the parameters of a financial or actuarial model is challenging. In
case of historical estimation, uncertainty arises through the estimator's volatility and possible …

Predictions from simulations have entered the mainstream of public policy and decision-
making practices. Unfortunately, methods for gaining insight into faulty simulations outputs …

It is already well documented that model risk is an important issue regarding the pricing of
exotics (see Schoutens et al., in A perfect calibration! Now what?, Wilmott Magazine, March …

This paper examines the empirical performance of various option‐pricing models in hedging
exotic options, such as barrier options and compound options. A practical and relevant …