The Heston model is a popular stock price model with stochastic volatility that has found numerous applications in practice. In the present paper, we study the Riemannian distance function associated with the Heston model and obtain explicit formulas for this function using geometrical and...

The state price density of a basket, even under uncorrelated Black-Scholes dynamics, does not allow for a closed from density. (This may be rephrased as statement on the sum of lognormals and is especially annoying for such are used most frequently in Financial and Actuarial Mathematics.) In...

Using an expansion of the transition density function of a 1-dimensional time inhomogeneous diffusion, we obtain the first and second order terms in the short time asymptotics of European call option prices. The method described can be generalized to any order. We then use these option prices...

A review of optimal investment rules in electricity generation -- A Survey of Commodity Markets and Structural Models for Electricity Prices -- Fourier based valuation methods in mathematical finance -- Mathematics of Swing Options: A Survey -- Inference for Markov-regime switching models of...

Given a basket option on two or more assets in a one period static hedging setting we consider the problem of maximizing and minimizing the basket option price subject to the constraints of known option prices on the component stocks and consistency with forward prices and treat it as an...

A family of generalized driftless uncorrelated SABR-like models are classified according to the dimensions of the symmetry groups of their corresponding backward Kolmogorov equations. This family contains the original uncorrelated SABR models, for arbitrary positive beta, as special cases. New...