While the idea of pricing options by Fourier methods has been around for more than two decades, the numerical evaluation of the necessary semi-infinite Fourier style integrals remains a challenging problem. Existing methods in the literature frequently lack robustness, and in practice often...

Many sophisticated option pricing models involve random variables whose probability density functions are only tractable in Fourier space. Moreover, popular choices for these variables often lead to numerical challenges, due to, for instance, singular densities or slowly decaying characteristic...

We demonstrate that the funding value adjustments (FVAs) of major dealers are debt-overhang costs to their shareholders. In order to maximize shareholder value, dealer quotations therefore adjust for FVAs. Our case examples include interest-rate swap FVAs and violations of covered interest...