In this paper we introduce a new fast and accurate numerical method for pricing exotic derivatives when discrete monitoring occurs, and the underlying evolves according to a Markov one-dimensional stochastic processes. The approach exploits the structure of the matrix arising from the numerical...

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...

In the present paper, we convert the usual <italic>n</italic>-step backward recursion that arises in option pricing into a set of independent integral equations by using a <italic>z</italic>-transform approach. In order to solve these equations, we consider different quadrature procedures that transform the integral equation...

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,...