Research seminars
1.
VIX Option Valuation
2.
Guaranteed minimum withdrawal benefit in variable annuities
3.
No-arbitrage pricing approach and fundamental theorem of asset pricing
4.
Real options in strategic investment games between two asymmetric firms
5.
Intensity-based framework and penalty approximation for optimal stopping problems in pricing mortgage loans
6.
Mathematical modeling of default correlation of risky assets in a portfolio
7.
Valuation of guaranteed annuity options in affine term structure models
8.
Interaction of optimal policies of call and conversion in convertible bonds
9.
Distribution of occupation times for CEV diffusions and pricing of a-quantile options
10.
Multiple optimal stopping problems and lookback options
11.
Optimal strategies associated with optimal features in financial contracts
12.
Employee reload options
13.
American Quanto lookback options
14.
Multi-state lookback options
15.
Free boundary value problems in finance
16.
Optimal shouting policies of options with shouting rights
17.
Front fixing algorithm
18.
Financial economics
19.
Contagion models with interacting default intensity processes
20.
Structured products
21.
Efficient option pricing using the fast fourier transforms
22.
Mathematics and the financial markets