Implicit finite difference methods are conventionally preferred over their explicit counterparts for the numerical valuation of options. In large part the reason for this is a severe stability constraint known as the Courant-Friedrichs-Lewy (CFL) condition which limits the latter class's...

We present an acceleration technique, effective for explicit finite difference schemes describing diffusive processes with nearly symmetric operators, called Super-Time-Stepping (STS). The technique is applied to the two-factor problem of option pricing under stochastic volatility. It is shown...

We present an acceleration technique, effective for explicit finite difference schemes describing diffusive processes with nearly symmetric operators, called Super-Time-Stepping (STS). The technique is applied to the two-factor problem of option pricing under stochastic volatility. It is shown...

The concept of industrialization in banking isn’t new, but in this article we argue that the circumstances that demand it are more pressing than ever. Although bank profits are returning to pre-crisis levels, return on equity (ROE) lags behind investor expectations. Furthermore, attempts in...

Abusive lending practices have made headlines around the nation, and the issue remains hotly debated. Stephen O'Sullivan gives an overview and an update on the issue. He focuses on how various regulators and legislators are trying to curb abuses without limiting access to the subprime market.

A scaled self-decomposable stochastic process put forward by Carr, Geman, Madan and Yor (2007) is used to model long term equity returns and options prices. This parsimonious model is compared to a number of other one-dimensional continuous time stochastic processes (models) that are commonly...