"Computational Methods in Finance is a book developed from the author's courses at Columbia University and the Courant Institute of New York University. This self-contained text is designed for graduate students in financial engineering and mathematical finance, as well as practitioners in the...

In an affine term structure framework with stochastic volatility, we derive the characteristic function of the log swap rate. Having the characteristic function, we employ Fast Fourier Techniques (FFT) to price swaptions. Using ten years of swap rates and swaption premiums, model parameters are...

We extend upon the saddle-point equation presented in [1] to derive large-time model-implied volatility smiles, providing its theoretical foundation and studying its applications in classical models. As long as characteristic function fulfills a Lévy-type scaling behavior in large time, the...

I Pricing and ValuationStochastic Processes and Risk-Neutral Pricing Characteristic FunctionStochastic Models of Asset PricesValuing Derivatives under Various MeasuresTypes of DerivativesDerivatives Pricing via Transform TechniquesDerivatives Pricing via the Fast Fourier TransformFractional Fast...