Paweł Stępniak is currently pursuing a PhD in Mathematics at Wrocław University of Science and Technology, having completed his MSc in 2021. His primary research interests are in financial and ...

We adopt the least squares Monte Carlo (LSMC) method to price time-capped American options. The cap can be an independent random variable or dependent on the asset price at a random time. We ...

A twist in this year’s review of buy-siders’ worries, though, is that the gloominess could become a risk in itself. Even as ...

As of end-June, $1.76 trillion in notional amounts of CDSs referenced sub-investment grade (IG) debt, with 62.1% cleared ...