All Stories

  1. The principle of not feeling the boundary for the SABR model
  2. Exact Simulation of the SABR Model
  3. An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect
  4. Monte Carlo sensitivities of optimal control
  5. Exact simulation of SDEs
  6. Sensitivity Computations via Integration by Parts
  7. Occupation time of a jump-diffusion process
  8. Monte Carlo simulation in financial engineering
  9. American Option Sensitivities Estimation via a Generalized IPA Approach
  10. CoCos, Bail-In, and Tail Risk