probability distribution function. Applications to the valuation of derivatives, including Asian options prices in closed form … others areas of finance, among which stochastic volatility and credit derivatives. …

The financial crisis has generated a deep revision of the regulation of securities and derivatives markets. In this … derivatives markets, while correspondingly reducing the scope of "private" markets (which broadly coincide with the "unregulated … of securities and derivatives trading in Europe. For these purposes, we formulate conjectures that are partly based on …

consistent framework. Credit spreads are modelled by geometric Brownian motions with a dependence structure powered by a t-copula …