Quasi Monte Carlo (QMC) and Global Sensitivity Analysis (GSA) techniques are applied for pricing and hedging representative financial instruments of increasing complexity. We compare standard Monte Carlo (MC) vs QMC results using Sobol' low discrepancy sequences, different sampling strategies,...

This paper develops and analyses convergence properties of a novel multi-level Monte-Carlo (mlMC) method for computing prices and hedging parameters of plain-vanilla European options under a very general $b$-dimensional jump-diffusion model, where $b$ is arbitrary. The model includes stochastic...

One-way coupling often occurs in multi-dimensional stochastic models in finance. In this paper, we develop a highly efficient Monte Carlo (MC) method for pricing European options under a N-dimensional one-way coupled model, where N is arbitrary. The method is based on a combination of (i) the...

With financial modelling requiring a better understanding of model risk, it is helpful to be able to vary assumptions about underlying probability distributions in an efficient manner, preferably without the noise induced by resampling distributions managed by Monte Carlo methods. This article...

In this article we suggest a new method for solutions of stochastic integrals where the dynamics of the variables in integrand are given by some stochastic differential equation. We also propose numerical simulation of stochastic differential equations which is based on iterated integrals method...

Sampled distributions are used to price, hedge and produce scenarios for derivative products which is essential for risk management. This approach accumulates many types of discretisation errors. These can be linked to data quality input, to calibration algorithms, discretisation in time,...

In this paper we study the stochastic area swept by a regular time-homogeneous diffusion till a stopping time. This unifies some recent literature in this area. Through stochastic time change we establish a link between the stochastic area and the stopping time of another associated...

In this paper we study the Omega risk model with surplus-dependent tax payments in a time-homogeneous diffusion setting. The new model incorporates practical features from both the Omega risk model(Albrecher and Gerber and Shiu (2011)) and the risk model with tax(Albrecher and Hipp (2007)). We...

We consider the optimal portfolio problem of a power investor who wishes to allocate her wealth between several credit default swaps (CDSs) and a money market account. We model contagion risk among the reference entities in the portfolio using a reduced form Markovian model with interacting...