We propose a unified pricing framework based on continuous-time Markov chain (CTMC)
approximation for autocallable structured products. Our method is applicable to a variety of …

This chapter investigates the pricing of single-asset autocallable barrier reverse convertibles
in the Heston local-stochastic volatility (LSV) model. Despite their complexity, autocallable …

This paper considers an extension of the common asset universe of a pension fund to
investment certificates. Investment certificates are a class of structured products particularly …

In this paper, we intend to generalize the well-known reflection principle, one of the most
interesting properties of the Brownian motion. The essence of our generalization lies in its …

This paper discusses the problem of valuation and risk management of structured products,
which have been popular in recent financial markets. We propose a recursive method based …

This paper discusses the pricing of autocallable structured product with knock-in (KI) feature
using the exit probability with the Brownian Bridge technique. The explicit pricing formula of …

In this article, some insights are presented on the risks associated with trading autocallable
financial products. This class of structured products survived the Lehman Brothers collapse …

Based on the conditional on one-step survival technique, in this paper, we design a path-
wise differentiation method to compute the first-order Greeks of multi-asset worst-of-all …

In this article, we propose a super-fast computational algorithm for three-asset equity-linked
securities (ELS) using the finite difference method (FDM). ELS is a very popular investment …

Investment certificates are securitized derivatives built as a combination of financial
instruments. The financial engineering process aims to create new payoff profiles that allow …