In this paper we study the hedging of derivatives in illiquid markets. More specifically we consider a model where the implementation of a hedging strategy affects the price of the underlying security. Following earlier work we characterize perfect hedging strategies by a nonlinear version of...

In this paper we study the two-dimensional joint distribution of the first passage time of a constant level by spectrally negative generalized Ornstein-Uhlenbeck processes and their primitive stopped at this first passage time. By using martingales techniques, we show an explicit expression of...

In this paper, we solve explicitly the optimal stopping problem with randomdiscounting and an additive functional as cost of observations for a regular linear diusion.We also extend the results to the class of one-sided regular Feller processes.[...]

We start by showing that the finite-time absolute ruin probability in the classical risk model with constant interest force can be expressed in terms of the transition probability of a positive Ornstein-Uhlenbeck type process, say X. Our methodology applies to the case when the dynamics of the...

The purpose of this note is to describe, in terms of a power series, the distribution function of the exponential functional, taken at some independent exponential time, of a spectrally negative L\'evy process \xi with unbounded variation. We also derive a Geman-Yor type formula for Asian...