This paper presents a generic probabilistic approach to study elasticities and sensitivities of financial quantities under stochastic volatility models. We describe the shock elasticity, the quantile sensitivity and the vaga value of cash flows with respect to perturbation of the volatility...

This paper establishes the precise second order convergence rates of the continuous-time Markov chain (CTMC) approximation method for pricing options and calculating its Greeks under the general framework of stochastic local volatility models, which include the Heston and SABR models as special...

In this paper, we study the fair fee of a flexible premium variable annuity (FPVA), in which the policyholder can choose to pay periodic premiums during the accumulation phase instead of a single initial premium. We are able to express fair fees using a fast and accurate approximation based on...

Estimation constitutes a major challenge in the implementation of mean-variance portfolios. To overcome this, we propose a partial index-tracking strategy that aims to mitigate estimation error ex-ante. Theoretically, we minimize the mean-square error of the proposed strategy by shrinking the...