Hybrid equity-rate derivatives are commonly traded between financial institutions, but are
challenging to price with traditional methods. Especially challenging are those contracts …

This paper presents the willow tree algorithms for pricing variable annuities with Guaranteed
Minimum Withdrawal Benefits (GMWB), where the underlying fund dynamics evolve under …

Lévy process models can capture the large price changes on sudden exogenous events
and can better demonstrate the high peak and heavy tail characteristics of financial data …

European futures options are not traded on the Chinese exchanges and that generates
difficulties to calibrate fundamental market parameters, such as the implied volatilities. We …

Convertible bonds are an important segment of the corporate bond market although their
pricing is compromised by the presence of complex option features and difficulty in …

Short rate models are critical and fundamental to govern the evolution of stochastic interest
rate in derivatives pricing and risk management. Numerical methods for these models are …

The Chinese convertible bond market has been developing rapidly in the last 10 years.
However, some special characteristics of the Chinese convertible bond, such as the soft …

We propose a unifying framework for the pricing of debt securities under general time-
inhomogeneous short-rate diffusion processes. The pricing of bonds, bond options …

This article proposes a new way to price Chinese convertible bonds by the Longstaff-
Schwartz Least Squares Monte Carlo simulation. The default intensity and the volatility are …

We present a valuation formula for convertible bonds with regime-switching market
conditions by decomposing the convertible bond into a coupon-bearing bond and the …