Fourier analysis and numerical methods have long played a pivotal role in the solution of differential equations across science and engineering. By decomposing complex functions into sums of ...

The Hull-White model is a key tool in pricing interest rate derivatives. It assumes normally distributed short rates with ...

The valuation of financial derivatives continues to evolve, with option pricing models remaining a cornerstone of modern quantitative finance. Traditional frameworks, such as the Black–Scholes model, ...

In this paper, we discuss efficient pricing methods via a partial differential equation (PDE) approach for long-dated foreign exchange (FX) interest rate hybrids under a three-factor multicurrency ...