We develop analytical methodology for pricing and hedging options on the realized variance
under the Heston stochastic variance model (1993) augmented with jumps in asset returns …

We present an automated market-making (AMM) cross-settlement mechanism for digital
assets on interoperable blockchains, focusing on central bank digital currencies (CBDCs) and …

We propose a structural default model to evaluate the counterparty risk by trading in credit
default swap (CDS) contracts. We model the joint evolution of the firm value of the entity …

We introduce the beta stochastic volatility model and discuss empirical features of this model
and its calibration. This model is appealing because, first, its parameters can be easily …

We first discuss the positive volatility skew observed in the implied volatilities of VIX options.
To model this feature, we apply the square root stochastic variance model with variance …

We derive explicit formulas for pricing double (single) barrier and touch options with time-dependent
rebates assuming that the asset price follows a double-exponential jump diffusion …

We analyse the profit-and-loss (P&L) of delta-hedging strategies for vanilla options in the
presence of the implied volatility skew and derive an approximation for the P&L under the …

The calibration of local volatility models to market data is one of the most fundamental problems
of financial engineering. Under the restrictive assumption that the entire implied volatility …

We present two robust extensions of the CreditGrades model: the first one assumes that the
variance of returns on the firm's assets is stochastic, and the second one assumes that the …

This paper surveys the developments in the finance literature with respect to applying the
Fourier transform for option pricing under affine jumpdiffusions. We provide a broad description …