Convertible bond valuation in a jump diffusion setting with stochastic interest rates

Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options

(2012) M. J. Ruijter et al.   SIAM JOURNAL ON SCIENTIFIC COMPUTING

The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives

(2011) Lech A. Grzelak et al.   QUANTITATIVE FINANCE

On the Heston Model with Stochastic Interest Rates

(2011) Lech A. Grzelak et al.   SIAM Journal on Financial Mathematics

An improved convolution algorithm for discretely sampled Asian options

(2010) Aleš Černý et al.   QUANTITATIVE FINANCE

Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility

(2009) Alexander van Haastrecht et al.   INSURANCE MATHEMATICS & ECONOMICS

Pricing early-exercise and discrete barrier options by fourier-cosine series expansions

(2009) F. Fang et al.   NUMERISCHE MATHEMATIK

Single and joint default in a structural model with purely discontinuous asset prices

(2009) Filippo Fiorani et al.   QUANTITATIVE FINANCE

Extension of stochastic volatility equity models with the Hull–White interest rate process

(2009) Lech A. Grzelak et al.   QUANTITATIVE FINANCE

A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes

(2008) R. Lord et al.   SIAM JOURNAL ON SCIENTIFIC COMPUTING