Fang Fang

Delft University of Technology

Stevinweg 1

Stevinweg 1

Delft, 2628 CN

Netherlands

SCHOLARLY PAPERS

2

DOWNLOADS
Rank 48,345

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Top 48,345

in Total Papers Downloads

1,158

SSRN CITATIONS

9

CROSSREF CITATIONS

4

Scholarly Papers (2)

1.

A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options Under Levy Processes

Number of pages: 23 Posted: 28 Feb 2007
Cardano Risk Management, Delft University of Technology, Rabobank International, London Branch and Center for Mathematics and Computer Science (CWI)
Downloads 998 (28,201)
Citation 12

Abstract:

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Option pricing , Bermudan options, American options, convolution, Lévy processes, Fast Fourier Transform

2.

Fast Valuation and Calibration of Credit Default Swaps Under Levy Dynamics

Number of pages: 22 Posted: 22 Jun 2010
Delft University of Technology, European Institute for Statistics, Probability, Operations Research and their Applications (EURANDOM), Center for Mathematics and Computer Science (CWI) and KU Leuven - Department of Mathematics
Downloads 160 (229,707)
Citation 4

Abstract:

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Levy processes,Credit risk, Default probability, Credit Default Swaps, Fourier-cosine expansion