During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

In the past three decades, we have witnessed the phenomenal growth in the trading of
financial derivatives and structured products in the financial markets around the globe and …

The world of quantitative finance (QF) is one of the fastest growing areas of research and its
practical applications to derivatives pricing problem. Since the discovery of the famous Black …

Most derivative securities must be priced by numerical techniques. These models contain
“distribution error” and “nonlinearity error”. The Adaptive Mesh Model (AMM) sharply …

This paper develops methods for relating the prices of discrete-and continuous-time
versions of path-dependent options sensitive to extremal values of the underlying asset …

This paper presents an implicit method for solving PDE models of contingent claims prices
with general algebraic constraints on the solution. Examples of constraints include barriers …

Discrete barrier and lookback options are among the most popular path-dependent options
in markets. However, due to the discrete monitoring policy almost no analytical solutions are …

This paper proposes and develops a novel, simple, widely applicable numerical approach
for option pricing based on quadrature methods. Though in some ways similar to lattice or …

This paper examines the pricing of lookback and barrier options when the underlying asset
follows the constant elasticity of variance (CEV) process. We construct a trinomial method to …

In this paper, we present an algorithm for pricing barrier options in one‐dimensional Markov
models. The approach rests on the construction of an approximating continuous‐time …