Duy Nguyen

TL;DR: A novel and efficient transform-based method to price swaps and options related to discretely-sampled realized variance under a general class of stochastic volatility models with jumps, utilizing frame duality and density projection method combined with a novel continuous-time Markov chain (CTMC) weak approximation scheme of the underlying variance process.

TL;DR: In this paper, the authors developed a fast and accurate method for pricing American and barrier options in regime switching jump diffusion models by blending regime switching models and Markov chain approximation techniques in the Fourier domain.

TL;DR: In this paper, a transform-based method to price equity-linked annuities (ELAs), including EIAs and cliquet-style payoff structures popular in the insurance market under a general class of stochastic volatility models with jumps, was developed.

TL;DR: A general framework for the valuation of options in stochastic local volatility models with a general correlation structure, which includes the Stochastic alpha beta structure, is proposed.

TL;DR: A two-layer approximation scheme is developed by further approximating the driving process in constructing the time change using an independent CTMC and derives the functional equation characterizing the double transforms of the transition matrix of the resulting time-changed CTMC.