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 article investigates the pricing of variable annuity guarantees, with particularly
emphasising on the Guaranteed Minimum Accumulation Benefit (GMAB) with several …

In this paper, an additional factor is introduced into the Heston–Hull–White (HHW) hybrid
model, which originally combines the Heston stochastic volatility model and the Hull–White …

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 …

Calibrating local regime‐switching models is a challenging problem, especially when the
volatility functions are assumed to depend on both of the underlying price and time. In this …

To price exotic foreign exchange (FX) options, a model needs to be selected for FX spot rate
dynamics. The classic approach of modelling spot rates with Black–Scholes framework …

The hedging of European contingent claims in a continuous‐time hidden Markov‐regime‐
switching diffusion model is discussed using stochastic flows of diffeomorphisms and Monte …

In quantitative finance practice, model calibration is a key challenge. This is especially so
when a local regime-switching model needs to be calibrated because designing an efficient …

In this paper, the pricing problem of variance and volatility swaps is discussed under a two-
factor stochastic volatility model. This model can be treated as a two-factor Heston model …

This article discusses option pricing in a Markov regime-switching model with a random
acceleration for the volatility. A key feature of the model is that the volatility of the underlying …