price processes also contain compound Poisson jump components. A Radon-Nikod¿ym derivative process that induces the change … Radon-Nikod¿ym derivative allows us to price the option under different financial-economic scenarios. We also consider …

unspanned stochastic volatility. Motivated by empirical evidence, hump-shaped level dependent stochastic volatility … correlation structure between the stochastic volatility, default-free interest rates and credit spreads. Default free and … the impact of the model parameters including correlations and stochastic volatility, on the credit swap rate and the value …

jump diffusion and stochastic volatility processes. We consider integral transform methods, the method of lines, operator …