Tap into the power of the most popular stochastic volatility model for pricing equity
derivatives Since its introduction in 1993, the Heston model has become a popular model for …

Many financial assets, such as currencies, commodities, and equity stocks, exhibit both
jumps and stochastic volatility, which are especially prominent in the market after the …

Most extant structural credit risk models underestimate credit spreads—a shortcoming
known as the credit spread puzzle. We consider a model with priced stochastic asset risk …

Green bonds, due to their inherent externalities, pose challenges in achieving equilibrium
prices under optimal public resource allocation and social welfare without governmental …

In this paper, we establish a model based on real options theory and fractional Brownian
motion (FBM) with jumps to price green bonds, and thus alleviate the externalities of green …

In this paper, we suggest new feature extraction models based on the stock market price
signal analysis. In particular, we study the behavior observed in signals originating from …

We calibrate Heston stochastic volatility model to real market data using several optimization
techniques. We compare both global and local optimizers for different weights showing …

In this paper, we propose a neural network-based method for approximating expected
exposures and potential future exposures of Bermudan options. In a first phase, the method …

We review the commonly used numerical algorithms for option pricing under Levy process
via Fast Fourier transform (FFT) calculations. By treating option price analogous to a …

We construct efficient and accurate numerical algorithms for pricing discretely monitored
barrier and Bermudan style options under time-changed Lévy processes by applying the fast …