Optimal trading strategies are found for an insider who is trading in two convergent stocks and is bound by margin constraints.

This paper considers arbitrage-free option pricing in the presence of large agents. These large agents have a significant market power, and their trading strategies influence the dynamics of the financial asset prices. First, a simple asset pricing model in the presence of large agents is...

We investigate the partial hedging problem in financial markets with a large agent. An agent is said to be large if his/her trades influence the equilibrium price. We develop a stochastic differential equation (SDE) with a single large agent parameter to model such a market. We focus on...

This paper studies the effect of introducing stochastic volatility in the first-passage structural approach to default risk. The impact of volatility time scales on the yield spread curve is analyzed. In particular it is shown that the presence of a short time scale in the volatility raises the...

The pricing of collateralized debt obligations (CDOs) and other basket credit derivatives is contingent upon (i) a realistic modelling of the firms' default times and the correlation between them, and (ii) efficient computational methods for computing the portfolio loss distribution from the...