In this article we formulate and solve the optimal design problem of a defined contribution public pension fund, in a highly stylized but still rather general non stationary framework. We adopt the viewpoint of a benevolent social planner who aims at treating in a fair manner the successive...

We derive the explicit formula for the joint Laplace transform of the Wishart process and its time integral which extends the original approach of Bru (1991). We compare our methodology with the alternative results given by the variation of constants method, the linearization of the Matrix...

We introduce a new stochastic volatility model that includes, as special instances, the Heston (1993) and the 3/2 model of Heston (1997) and Platen (1997). Our model exhibits important features: first, instantaneous volatility can be uniformly bounded away from zero, and second, our model is...

In this paper we propose the first calibration exercise based on quantization methods. Pricing and calibration are typically difficult tasks to accomplish: pricing should be fast and accurate, otherwise calibration cannot be performed efficiently. We apply in a local volatility context the...