Algorithm for Financial Derivatives Evaluation in Generalized Double-Heston Model

This paper shows how can be estimated the value of an option if we assume the double- Heston model on a message-based architecture. For path trace simulation we will discretize continous model with an Euler division of time.Monte Carlo; algorithms; computational financial engineering; derivatives evaluation; Black�Scholes�Merton model; Heston model; double-Heston model; generalized double-Heston model.

Spectral analysis of a class of L\'evy-type processes and connection with some spin systems

We consider a class of L\'evy-type processes on which spectral analysis technics can be made to produce optimal results, in particular for the decay rate of their survival probability and for the spectral gap of their ground state transform. This class is defined by killed symmetric L\'evy processes under general random time-changes satisfying some integrability assumptions. Our results reveal a connection between those processes and a family of spin systems. This connection, where the free energy and correlations play an essential role, is, up to our knowledge, new, and relates some key properties of objects from the two families. When the underlying L\'evy process is a Brownian motion, the associated spin system turns out to have interactions of a rather nice form that are a natural alternative to the quadratic interactions from the lattice Gaussian Free Field. More general L\'evy processes give rise to more general interactions in the associated spin systems