Sequential Monte Carlo (SMC) methods have successfully been used in many applications in engineering, statistics and physics. However, these are seldom used in financial option pricing literature and practice. This paper presents SMC method for pricing barrier options with continuous and...

The purpose of this paper is to develop a new non-parametric method to price options based on normalized Multipoint Padé Approximants. Following the seminal paper of Padé (1892), we propose to approximate the risk-neutral distribution by a rational function of polynomials that can accommodate...

Our article considers the class of recently developed stochastic models that combine claims payments and incurred losses information into a coherent reserving methodology. In particular, we develop a family of hierarchical Bayesian paid-incurred-claims models, combining the claims reserving...

Recent empirical studies in Equity markets show evidence that, while asset log-returns are largely uncorrelated, it is possible to predict with some accuracy their future sign. Such prediction is made over a given forecast horizon based solely on the observed sign of the cumulative log-return...

In this paper, we review pricing of variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings. We present pricing of these products via an optimal stochastic control...