This paper presents the implementation to the class of jump diffusion models of the approach used by Boyarchenko and Levendorskii (2002) in the case of exponential Lévy models. We show that this approach is more computationally efficient than the semi closed form solutions derived by Kou...

Several approaches to model stock returns with Lévy Processes have been developed in the past years. Firstly, this article will review existing approaches and compare the latest ones through an analysis of the Lévy density. Secondly, this article will provide a simple but general...

We introduce a new and complete ordering of prospects that is consistent with stochastic dominance (SD). Featuring loss aversion and skewness preference, it mitigates the low discriminatory power of SD and circumvents implementation difficulties associated with third order SD. To highlight its...

The Basle 2 Capital Accord issued by the Basle Committee on banking supervision has proposed a multiplier superior to 3 on banks' internal 99% 10-day Value-at-Risk calculated for market risk exposure. This ad hoc factor has not been fully explained and is poorly justified by arguing that the...

We develop a switching regime version of the intensity model for credit risk pricing. The default event is specified by a Poisson process whose intensity is modeled by a switching Lévy process. This model presents several interesting features. Firstly, as Lévy processes encompass numerous jump...