Option pricing models: Black-Scholes goes hypergeometric - The authors introduce a general pricing formula that extends Black-Scholes and contains as particular cases most analytically solvable models in the literature, including the quadratic and the constant elasticity of variance models for European-style and barrier options.

Advanced derivatives pricing and risk management : theory, tools and hands-on programming application

Albanese, Claudio, (2006)

Credit derivatives: Credit barrier models The authors construct an analytic credit barrier model driven by credit ratings, constrained to fit the term structure of credit spreads.

Albanese, Claudio, (2003)

Advanced derivatives pricing and risk management : theory, tools and hands-on programming application

Albanese, Claudio, (2006)