The purpose of this project is to extend the Heston model in order to incorporate the term structure (TS) of the implied volatility surface. This includes implementing a TS within the Heston model and its calibration to a set of market instruments. The TS Heston model with piecewise constant parameters is implemented to match the TS and the COS pricing method is used for fast option pricing. We...

We provide convergence guarantees in Wasserstein distance for a variety of variance-reduction methods: SAGA Langevin diffusion, SVRG Langevin diffusion and control-variate underdamped Langevin diffusion. We analyze these methods under a uniform set of assumptions on the log-posterior distribution, assuming it to be smooth, strongly convex and Hessian Lipschitz. This is achieved by a new proof t...

Computing risk measures of a financial portfolio comprising thousands derivatives is challenging problem both because it involves nested expectation requiring multiple evaluations the loss for different scenarios and evaluating expensive cost increases with size. We apply multilevel Monte Carlo simulation adaptive inner sampling to this discuss several practical considerations. In particular, w...

In this paper, we investigate two numerical methods for pricing Asian options: Laplace transform inversion and Monte Carlo simulation. In attempting to numerically invert the Laplace transform of the Asian call option that has been derived previously in the literature, we point out some of the potential difficulties inherent in this approach. We investigate the effectiveness of two easy-to-impl...

Phase-type (PH) distributions are being used to model a wide range of phenomena in performance and dependability evaluation. The resulting models may be employed in analytical as well as in simulation-driven approaches. Simulations require the efficient generation of random variates from PH distributions. PH distributions have different representations and different associated computational cos...

A multivariate quantitative data is often summarized into a general index as a weighted sum when each variate has a prescribed order. Although the sum of standardized scores is a sensible choice of index, it may have negative correlation with some of the variates. In this paper, a general index that has positive correlation with all the variates is constructed. The index is applied to study the...