It is well-known from the work of Sch ̈onbucher (2005) that the marginal laws of a loss process can be matched by a unit increasing time inhomogeneous Markov process, whose deterministic jump intensity is called local intensity. The Stochastic Local Intensity (SLI) models such as the one...

It is well-known from the work of Sch ̈onbucher (2005) that the marginal laws of a loss process can be matched by a unit increasing time inhomogeneous Markov process, whose deterministic jump intensity is called local intensity. The Stochastic Local Intensity (SLI) models such as the one...

In the Black-Cox model, a firm defaults when its value hits an exponential barrier. Here, we propose an hybrid model that generalizes this framework. The default intensity can take two different values and switches when the firm value crosses a barrier. Of course, the intensity level is higher...

In this article, we study a double barrier version of the standard Parisian options. We give closed formulas for the Laplace transforms of their prices with respect to the maturity time. We explain how to invert them numerically and prove a result on the accuracy of the numerical inversion when...

In this paper, we are interested in the almost sure convergence of randomly truncated stochastic algorithms. In their pioneering work Chen and Zhu [Chen, H., Zhu, Y., 1986. Stochastic Approximation Procedure with Randomly Varying Truncations. In: Scientia Sinica Series.] required that the family...

We present a parallel algorithm for solving backward stochastic differential equations (BSDEs in short) which are very useful theoretic tools to deal with many financial problems ranging from option pricing option to risk management. Our algorithm based on Gobet and Labart (2010) exploits the...

Adaptive importance sampling techniques are widely known for the Gaussian setting of Brownian driven diffusions. In this work, we want to extend them to jump processes. Our approach relies on a change of the jump intensity combined with the standard exponential tilting for the Brownian motion....

Tree methods are among the most popular numerical methods to price financial derivatives. Mathematically speaking, they are easy to understand and do not require severe implementation skills to obtain algorithms to price financial derivatives. Tree methods basically consist in approximating the...