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 …

Efficiently pricing multi-asset options is a challenging problem in quantitative finance. When
the characteristic function is available, Fourier-based methods are competitive compared to …

In this paper, we present the modeling benefits of using Lévy processes and the fast Fourier
transform (FFT) in the valuation of gas storage assets and, from a practitioner's perspective …

We present new numerical schemes for pricing perpetual Bermudan and American options
as well as α-quantile options. This includes a new direct calculation of the optimal exercise …

Practical options pricing for better-informed investment decisions. The Heston Model and Its
Extensions in VBA is the definitive guide to options pricing using two of the derivatives …

Efficiently pricing multi-asset options is a challenging problem in computational finance.
Although classical Fourier methods are extremely fast in pricing single asset options …

A typical natural gas derivatives book within an energy trading business, bank, or even large
utility will generally be exposed to two broad categories of market risk. The first being …

One of the goals in mathematical finance is the pricing of derivatives such as options. While
there are certainly also many other mathematically and computationally challenging areas of …

I study questions related to risk premia in real bond markets. First, I document novel
evidence that factors explaining excess returns for nominal Treasuries are also common to …

We focus on the pricing of Bermudan and barrier options under the dynamics of the Heston
stochastic volatility model. The two-dimensional nature of the Heston model makes the …