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q-fin.CP2026
Semi-Analytical Pricing for General Default Intensity Models
Ryan Parker, Mark Stedman, Luca Capriotti
Using the path-integral formalism, we develop an accurate and easy-to-compute semi-analytical approximation for a general class of {default intensity} models. We illustrate the acc…
q-fin.CP2024
A Path Integral Approach for Time-Dependent Hamiltonians with Applications to Derivatives Pricing
Mark Stedman, Luca Capriotti
We generalize a semi-classical path integral approach originally introduced by Giachetti and Tognetti [Phys. Rev. Lett. 55, 912 (1985)] and Feynman and Kleinert [Phys. Rev. A 34, 5…