The thesis goal is to explore the relations between Formal Verification techniques in
Computer Science and Stochastic Analysis in Mathematics. They both deal with probabilistic …

We revisit the classical problem of approximating a stochastic differential equation by a
discrete-time and discrete-space Markov chain. Our construction iterates Caratheodory's …

In this paper, we focus on two-factor lattices for general diffusion processes with state-
dependent volatilities. Although it is common knowledge that branching probabilities must …

This article introduces a new methodology to approximate the prices of variance, gamma
and corridor swaps in a stochastic volatility framework applicable to any given tree structure …

The original binomial model is an easy-to-apply approximation procedure for valuing
options under Black-Scholes assumptions. There is a single stochastic factor and the …

The paper proposes a flexible and computationally efficient lattice-based approximation for
evaluating European and American compound options under stochastic volatility models. In …

American exercise presents difficulties for option valuation. For an in-the-money option, it
becomes necessary at each point in time to consider whether to exercise or to hold on …

We propose a flexible lattice model for pricing bonds and interest-sensitive claims under
stochastic volatility, which is able to accommodate different dynamics specifications, and …

In a recent study, Zhao et al.[2017a] presents a tree methodology to evaluate the expected
generalized realized variance in a general stochastic volatility model. This provides an …

Embedded surrender option pricing for equity-linked policies: comparisons and solutions for
bivariate models IRIS IRIS Home Sfoglia Macrotipologie & tipologie Autore Titolo Riviste Serie …