The model introduced in this article is designed to provide a consistent representation for both the real-world and pricing measures for the credit process. We find that good agreement with historical and market data can be achieved across all credit ratings simultaneously. The model is...

We introduce a pricing model for equity options in which sample paths follow a variance-gamma (VG) jump model whose parameters evolve according to a two-state Markov chain process. As in GARCH type models, jump sizes are positively correlated to volatility. The model is capable of justifying the...

In the first quarter of 2006, the Chicago Board Options Exchange introduced, as one of the listed products, options on its implied volatility index (VIX). This created the challenge of developing a pricing framework that can simultaneously handle European options, forward-starts, options on the...