Volatility transformation in a multi-curve setting applied to caps and swaptions by Maxwell, Daniel

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The use of stochastic collocation for sampling from expensive distributions with applications in finance by Brand, Hilmarie

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Trolle-Schwartz HJM interest rate model by Schumann, Gareth William

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Mixed Monte Carlo in the foreign exchange market by Baker, Christopher

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Adjoint Venture: Fast Greeks with Adjoint Algorithmic Differentiation by McPetrie, Christopher Lindsay

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Quantifying the impact of adding an unlisted credit asset to a portfolio of listed credit assets by Makhuvha, Vuyo

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Functional quantization-based stratified sampling by Platts, Alexander

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Pricing a Bermudan option under the constant elasticity of variance model by Rwexana, Kwaku

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The Credit Risk in Stock-Based Loans by Korula, Febin

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Employee Stock Option Valuation with Earnings-Based Vesting Condition by Patel, Kavir

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Pricing swaptions on amortising swaps by Masutha, Ndinae Nico

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Potential Future Exposure in the Presence of Initial Margin by Nevin, James

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Implementation of numerical Fourier method for second order Taylor schemes by Mashalaba, Qaphela

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Analytical Solution of the Characteristic Function in the Trolle-Schwartz Model by Van Gysen, Richard John

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Local Stochastic Volatility—The Hyp-Hyp Model by Cowen, Nicholas

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A Review of Multilevel Monte Carlo Methods by Jain, Rohin

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Interpolation of Forward Rates in the LIBOR Market Model by Mbele, Buhlebezwe Bandile Sthombe

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Concurrence Between the Displaced Libor Market and Hull-White Models by Thantsha, Kgothatso

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Pricing stochastic volatility models using random grids by Rajkumar, Rishay

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Optimal tree methods by Rudd, Ralph

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