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 …

Focusing on recent developments in the field, American-Style Derivatives provides an
extensive treatment of option pricing with emphasis on the valuation of American options on …

We first introduce some basic knowledge on stocks, bonds, foreign currencies, commodities,
and indices, all of which are called assets in this book. Huge volumes of stocks are traded …

The topic of insolvency risk in connection with life insurance companies has recently
attracted a great deal of attention. In this paper, the question is investigated of how the …

Many bankruptcy codes implicitly or explicitly contain net-worth covenants, which provide
the firm's bondholders with the right to force reorganization or liquidation if the value of the …

The exposition of the quadrature (QUAD) method (Andricopoulos, Widdicks, Duck, and
Newton, 2003. Universal option valuation using quadrature methods. Journal of Financial …

Although the valuation of defaultable securities with methods of continuous time finance
goes back to the initial proposal of Black and Scholes (1973), this area of research has been …

We present an efficient method for robustly pricing discretely monitored barrier and
occupation time derivatives under exponential Lévy models. This includes ordinary barrier …

We propose a method based on continuous-time Markov chain (CTMC) approximation to
compute the distribution of Parisian stopping times and to price options of Parisian style …

In this article, we propose a new method to price numerically Parisian options by inversion of
Laplace transform. We compare this method to other more traditional approaches (Monte …