Ioannis Kyriakou

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We develop accurate analytical pricing formulae for discretely and continuously monitored arithmetic Asian options under general stochastic asset models, including exponential Lévy models, stochastic volatility models, and the constant elasticity of variance diffusion. The payoff of the arithmetic Asian option depends on the arithmetic average price of the(More)
Solid-phase extraction (SPE) and capillary electrophoresis (CE) are on-line coupled via a Tee-split interface, which provides hydrodynamic injection of the SPE eluate by flow splitting. The interface allows sample preconcentration independently from the CE separation and prevents sample matrix and washing solvents from entering the separation capillary. The(More)
The paper proposes a fast Fourier transform (FFT) pricing algorithm for convertible bonds in a framework which comprises firm value, evolving as an exponential jump diffusion, and correlated stochastic interest rates movements. This is a novel numerical technique for the convertible bonds literature and aims at fixing dimensionality and convergence(More)
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