We propose a methodology to sample sequentially from a sequence of probability distributions that are defined on a common space, each distribution being known up to a normalizing constant. These probability distributions are approximated by a cloud of weighted random samples which are propagated...

Sequential Monte Carlo (SMC) methods have successfully been used in many applications in engineering, statistics and physics. However, these are seldom used in financial option pricing literature and practice. This paper presents SMC method for pricing barrier options with continuous and...

We analyze the robustness properties of the Snell envelope backward evolution equation for the discrete time optimal stopping problem. We consider a series of approximation schemes, including cut-off type approximations, Euler discretization schemes, interpolation models, quantization tree...

1. Black-Scholes model -- 2. Multivariate Black-Scholes model -- 3. Discussion of the Black-Scholes model -- 4. Measures of risk and performance -- 5. Modeling interest rates -- 6. Levy models -- 7. Stochastic volatility models -- 8. Copulas and applications -- 9. Filtering -- 10. Applications...