During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

We consider the problem of pricing an American contingent claim whose payoff depends on
several sources of uncertainty. Several efficient numerical lattice-based techniques exist for …

A detailed analysis of the Least Squares Monte-Carlo (LSM) approach to American option
valuation suggested in Longstaff and Schwartz (2001) is performed. We compare the …

The essential premise of this book is that theory and practice are equally important in
describing financial modeling. In it the authors try to strike a balance in their discussions …

There are two types of tenn structure models in the literature: the equilibrium models and the
no-arbitrage models. And there are, correspondingly, two types of interest rate derivatives …

We consider the problem of pricing a contingent claim whose payoff depends on several
sources of uncertainty. Using classical assumptions from the Arbitrage Pricing Theory, the …

In 1987, Lo derived an upper bound on the price of a European call option on a single asset.
Lo's bound depends only on the mean and variance of the terminal asset price and is …

Valuing portfolios of options embedded in investment decisions is arguably one of the most
important and challenging problems in real options and corporate? nance in general …

This paper considers the problem of pricing options with early-exercise features whose pay-
off depends on several sources of uncertainty. We propose a stochastic grid method for …

Many asset price series exhibit time-varying volatility, jumps and other features inconsistent
with assumptions about the underlying price process made by standard multivariate …