After the financial crisis, a financial innovation, the central clearing counterparty (CCP) has been proposed and proved its importance in facilitating the clearing of interbank liabilities. In its original design, there is a possibility that the CCP may go default, and thus jeopardizing the...

We offer a novel approach for solving optimal price adjustment problems, when the underlying process is a Geometric Brownian Motion (GBM) process. Our approach relies on characterizing the cumulative cost of deviation and the cost of adjusting price until the hitting time of the lower or upper...

In recent literature, a new class of unbiased Monte Carlo estimators have been proposed, which is based on truncating a telescopic representation of the expectation of a functional of the stochastic process at an independent random level. The generality of the method lies in that it can...

We establish a novel duality relationship between continuous and discrete non-negative additive functionals of stochastic (not necessarily Markovian) processes and their right inverses. For general Markov processes, we further extend and develop a theoretical and computational framework for the...

Recently, Cai et al. (2015) proposed closed-form double transform approxima- tion formulas for prices of both discretely and continuously monitored Asian options under the setting of a general continuous-time Markov chain. In this note, we analytically invert the Z−transform and the Laplace...