In this paper, we are interested in continuous-time models in which the index level induces feedback on the dynamics of its composing stocks. More precisely, we propose a model in which the log-returns of each stock may be decomposed into a systemic part proportional to the log-returns of the...

This paper investigates the use of multiple directions of stratification as a variance reduction technique for Monte Carlo simulations of path-dependent options driven by Gaussian vectors. The precision of the method depends on the choice of the directions of stratification and the allocation...

In this paper, we investigate the generalization of the Call-Put duality equality obtained in Alfonsi and Jourdain (preprint, 2006, available at ) for perpetual American options when the Call-Put payoff (y - x)+ is replaced by ϕ(x,y). It turns out that the duality still holds under monotonicity...

We are interested in a probabilistic approximation of the solution to scalar conservation laws with fractional diffusion and nonlinear drift. The probabilistic interpretation of this equation is based on a stochastic differential equation driven by an [alpha]-stable Lévy process and involving a...