The Wiener-Hopf factorization of a complex function arises in a variety of fields in applied mathematics such as probability, finance, insurance, queuing theory, radio engineering and fluid mechanics. The factorization fully characterizes the distribution of functionals of a random walk or a...

This paper proposes an integrated pricing framework for CVA of equity and commoditiy portfolios. The given framework, in fact, generates dependence endogenously, allows for calibration and pricing to be based on the same numerical schemes (up to Monte Carlo simulation), and also naturally allows...

We show how spectral filtering techniques can improve the convergence of numerical schemes which use discrete Hilbert transforms based on a sinc function expansion, and thus ultimately on the fast Fourier transform. This is relevant, for example, for the computation of fluctuation identities,...

We present a numerical scheme to calculate fluctuation identities for exponential L'evy processes in the continuous monitoring case. This includes the Spitzer identities for touching a single upper or lower barrier, and the more difficult case of the two-barriers exit problem. These identities...

We present a multivariate version of a structural default model with jumps and use it in order to quantify the bilateral credit value adjustment and the bilateral debt value adjustment for equity contracts, such as forwards, in a Merton-type default setting. In particular, we explore the impact...

We propose a new accurate method for pricing European spread options by extending the lower bound approximation of Bjerksund and Stensland (2011) beyond the classical Black-Scholes framework. This is possible via a procedure requiring a univariate Fourier inversion. In addition, we are also able...

In this paper, we recall actuarial and financial applications of sums of dependent random variables that follow a non-Gaussian mean-reverting process and contemplate distribution approximations. Our work complements previous related studies restricted to lognormal random variables; we revisit...

The entry into force of the Solvency II regulatory regime is pushing insurance companies in engaging into market consistence evaluation of their balance sheet, including the financial options and guarantees embedded in life with-profit funds. The robustness of these valuations is crucial for...

In this note, we revisit the innovative transform approach introduced by Cai, Song, and Kou [(2015) A general framework for pricing Asian options under Markov processes. Oper. Res. 63(3):540–554] for accurately approximating the probability distribution of a weighted stochastic sum or time...