O'Sullivan, Conall(University College Dublin. School of Business. Centre for Financial Markets, 2007)
The Cox, Ingersoll and Ross (1985) term structure model describes the stochastic evolution of government bond yield curves over time using a square root Orstein-Uhlenbeck diffusion process, whilst
imposing cross-sectional ...
O'Sullivan, Conall(University College Dublin. School of Business. Centre for Financial Markets, 2004-12)
A model is developed that can price path dependent options when the underlying
process is an exponential Lévy process with closed form conditional characteristic
function. The model is an extension of a recent quadrature ...
We present an acceleration technique, effective for explicit finite difference schemes
describing diffusive processes with nearly symmetric operators, called Super-Time-
Stepping (STS). The technique is applied to the ...
O'Sullivan, Conall(University College Dublin. School of Business. Centre for Financial Markets, 2006-08)
A numerical method is developed that can price options, including exotic options that can be priced recursively such as Bermudan options, when the underlying process is an exponential Lévy process with closed form conditional ...
A scaled self-decomposable stochastic process put forward by Carr, Geman, Madan
and Yor (2007) is used to model long term equity returns and options prices. This
parsimonious model is compared to a number of other ...
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