Contingent Convertibles (“CoCos”) are contingent capital instruments which convert into shares, or have a principal write down, if a trigger event takes place. CoCos exhibit the undesirable so-called death-spiral effect: by actively hedging the equity risk, investors can (unintentionally)...

Except for the geometric Brownian model and the geometric Poissonian model, the general geometric Lévy market models are incomplete models and there are many equivalent martingale measures. In this paper we suggest to enlarge the market by a series of very special assets (power-jump assets)...

This paper presents some asymptotic results for statistics of Brownian semi-stationary (BSS) processes. More precisely, we consider power variations of BSS processes, which are based on high frequency (possibly higher order) differences of the BSS model. We review the limit theory discussed by...

We develop the asymptotic theory for the realised power variation of the processes X=[phi]-G, where G is a Gaussian process with stationary increments. More specifically, under some mild assumptions on the variance function of the increments of G and certain regularity conditions on the path of...

The aim of this work is to use a duality approach to study the pricing of derivatives depending on two stocks driven by a bidimensional Lévy process. The main idea is to apply Girsanov's Theorem for Lévy processes, in order to reduce the posed problem to a problem with one Lévy driven stock...

In this paper we present new pricing formulas for some single barrier style contracts of the European type when the underlying process is driven by an important class of Lévy processes, which includes the CGMY model, generalized hyperbolic model and Meixner model, frequently used in the...

We find necessary and sufficient conditions for the market symmetry property, introduced by Fajardo and Mordecki (Quant Finance 6(3):219–227, <CitationRef CitationID="CR10">2006</CitationRef>), to hold in the Ornstein–Uhlenbeck stochastic volatility model, henceforth OU–SV. In particular, we address the non-Gaussian OU–SV model...</citationref>