From observed bid and ask prices of European call and put options we estimate the risk neutral density of a stock at some future time $t0$. We restrict attention to a class of densities with heavy tails and use a Bayesian formulation in order to study the variation in the distributions fitting...

The large deviation modified likelihood ratio statistic is studied for testing a variance component equal to a specified value. Formulas are presented in the general balanced case, whereas in the unbalanced case only the one-way random effects model is studied. Simulation studies are presented,...

We prove a theorem of de Finetti-type involving the pure birth of Yule process. The proof illustrates the usefulness of recently developed weak convergence criteria for point processes as well as uniform saddlepoint approximations. We also derive a stochastic intensity for the conditional...

This paper develops a stochastic integration theory with respect to volatility modulated Lévy-driven Volterra (V MLV) processes. It extends recent results in the literature to allow for stochastic volatility and pure jump processes in the integrator. The new integration operator is based on...

The aim of the present paper is to study the semimartingale property of continuous time moving averages driven by Lévy processes. We provide necessary and sufficient conditions on the kernel for the moving average to be a semimartingale in the natural filtration of the Lévy process, and when...

We consider a binomial model that converges towards a Black-Scholes model as the number of trading dates increases to infinity. The models considered are complete and hence every claim is generated by an appropriate trading strategy. Fixing a path dependent claim the paper treats weak and...