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 in...

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...

In this paper we consider an insider with privileged information that is affected by an independent noise vanishing as the revelation time approaches. At this time, information is available to every trader. Our financial markets are based on Wiener space. In probabilistic terms we obtain an...

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...