Over the last fifty years, there has been an increasing intersection of methodologies,
applications, and contributions at the frontier of finance and operations research. This invited …

The foreign exchange markets, renowned as the largest financial markets globally, also
stand out as one of the most intricate due to their substantial volatility, nonlinearity, and …

A stochastic flow network (SFN) serves as a fundamental framework for real-life network-
structured systems and various applications. Network reliability NR d is defined as the …

The transition towards a low-carbon economy is crucial to achieve the Paris climate goals,
but it also presents the risk of stranded assets across various industries. However, existing …

Abstract Variable annuities with Guaranteed Minimum Withdrawal Benefits (GMWB) entitle
the policy holder to periodic withdrawals together with a terminal payoff linked to the …

Variable annuities with complex surrender features are nowadays increasingly popular for
managing longevity risks. The study of their accurate pricing and sensitivity analysis is one …

This paper focuses on the valuation of variable annuities with a guaranteed minimum
maturity benefit under a regime-switching Lévy model. The model allows policyholders to …

The foreign exchange markets, renowned as the largest financial markets globally, also
stand out as one of the most intricate due to their substantial volatility, nonlinearity, and …

American options are one of the most traded instruments in the financial markets. However,
pricing them is challenging because of the early exercise possibility. We propose a robust …