The theory of Lévy models for asset pricing simplifies considerably if one takes a pricing kernel approach, which enables one to bypass market incompleteness issues. The special case of a geometric Lévy model (GLM) with constant parameters can be regarded as a natural generalization of the...

The geometric L\'evy model (GLM) is a natural generalisation of the geometric Brownian motion model (GBM) used in the derivation of the Black-Scholes formula. The theory of such models simplifies considerably if one takes a pricing kernel approach. In one dimension, once the underlying L\'evy...

In the "positive interest" models of Flesaker-Hughston, the nominal discount bond system is determined by a one-parameter family of positive martingales. In the present paper we extend this analysis to include a variety of distributions for the martingale family, parameterised by a function that...