The relationship between affine stochastic processes and bond pricing equations in
exponential term structure models has been well established. We connect this result to the …

This book addresses the applications of Fourier transform to smile modeling. Smile effect is
used generically by? nancial engineers and risk managers to refer to the inconsistences of …

This paper presents an efficient methodology for the discrete Asian options consistent with
different types of underlying densities, especially non-normal returns as suggested by the …

From a technical point of view, the celebrated Black and Scholes option pricing formula was
originally developed using a separation of variables technique. However, already Merton …

Lecture notes in economics and mathematical systems Page 2 Lecture Notes in Economics and
Mathematical Systems Founding Editors: M. Beckmann HP Kiinzi Editorial Board: H. Albach, M …

Fixed income options are frequently adopted by companies to hedge interest rate risk. Their
payoff dependence on the cumulative short-term rate makes them particularly informative …

This paper presents an efficient method for pricing discrete Asian options in presence of
smile and non-proportional dividends. Using an homogeneity property, we show how to …

In this paper we implement dynamic term structure models that adopt bonds and Asian
options in the estimation process. The goal is to analyse the pricing and hedging …

We develop analytic pricing models for options on averages by means of a state-space
expansion method. These models augment the class of Asian options to markets where the …

There exist a number of approximation methods for the price of average rate options, when
the underlying asset is a currency or equity. Realistic pricing models for average interest rate …