We consider the valuation of collateralized derivative contracts such as bond option or Caplet contracts. We allow for posting different collaterals such as securities or cash for the derivatives and its hedges. The pricing is based on modeling the joint evolution of collateral rate and the...

Stochastic volatility model of the Gamma Ornstein-Uhlenbeck possess authentic capability of both capturing some stylized features of financial time series and pricing European options. In this work we modify the Gamma OU model from the viewpoint of Monte Carlo simulation, which is crucial in...

Numerous empirical studies have shown that certain exponential Levy models are able to fit the empirical distribution of daily financial returns quite well. By contrast, very few papers have considered intraday data in spite of their growing importance. In this paper, we fill this gap by...