This paper proposes a new approximation method for pricing barrier options with discrete monitoring under stochastic volatility environment. In particular, the integration-by-parts formula in Malliavin calculus is effectively applied in an asymptotic expansion approach. First, the paper derives...

This paper derives asymptotic expansion formulas for option prices and implied volatilities as well as the density of the underlying asset price in a stochastic volatility model. In particular, the integration-by-parts formula in Malliavin calculus and the push-down of Malliavin weights are...

The recent financial crisis has spiked the credit and liquidity premia among financial products, and significant widening of basis spreads among Libors with different tenors and currencies has been observed in interest rate markets. Our previous work, "A Note on Construction of Multiple Swap...

This paper studies impacts of imperfect collateralization on derivatives values. Firstly, we present a general framework for the analysis in a multi-dimensional dif fusion setting, and then calclate pre-default values of forwards and options for the numerical experiments. In particular, we...

In the forthcoming ISDA Standard Credit Support Annex (SCSA), the trades denominated in non-G5 currencies as well as those include multiple currencies are expected to be allocated to the USD silo, where the contracts are collateralized by USD cash, or a different currency with an appropriate...

In this work, we apply our newly proposed perturbative expansion technique to a quadratic growth FBSDE appearing in an incomplete market with stochastic volatility that is not perfectly hedgeable. By combining standard asymptotic expansion technique for the underlying volatility process, we...

Intro -- Contents -- Preface -- InternationalWorkshop on Finance 2011 -- Program -- On the Representation of General Interest Rate Models as Square- Integrable Wiener Functionals L. P. Hughston and F. Mina -- References -- On Pricing Contingent Capital Notes D. B. Madan -- 1. Introduction -- 2....