From the unique perspective of partial differential equations (PDE), this self-contained book
presents a systematic, advanced introduction to the Black-Scholes-Merton's option pricing …

The pricing accuracy and pricing performance of local volatility models depends on the
absence of arbitrage in the implied volatility surface. An input implied volatility surface that is …

Yet that weakness is also its greatest strength. People like the model because they can
easily understand its assumptions. The model is often good as a? rst approximation, and if …

This paper provides an industry standard on how to quantify the shape of the implied
volatility smirk in the equity index options market. Our local expansion method uses a …

Abstract© The Institution of Engineering and Technology 2019. The modulus switching
technique has been used in some cryptographic applications as well as in cryptanalysis. For …

This paper studies an inverse problem of identifying the coefficient of parabolic equation
when the final observation is given, which has important application in a large fields of …

We consider an inverse problem of reconstructing the coefficient q in the parabolic equation
ut-Δu+ q (x) u= 0 from the final measurement u (x, T), where q is in some subset of L1 (Ω) …

We consider the inverse problem of source determination in nonuniformly parabolic
equation under the additional condition of integral observation. We investigate the questions …

Local regime-switching models are a natural consequence of combining the concept of a
local volatility model with that of a regime-switching model. However, even though Elliott et …

In this paper robust algorithms for numerical identification of time dependent volatility by
integral observations of one-and two-asset Black–Scholes models are developed. An …