In this paper we introduce a new jump-diffusion model for stock prices, which takes into account over and under-reaction of the market to incoming news. The jumps' impact on the assets dynamics is twofold: on one hand we use a Poisson process as a driver to obtain discontinuous trajectories and...

In this paper we analyze spot prices and futures quotation data to get inference under both the historical and the risk neutral measure in a commodity crude oil market (data are referred to WTI index which tracks the crude oil barrel price on NYMEX market).While big part of research and...

We consider the problem of stochastic comparison of general Garch-like processes, for different parameters and different distributions of the innovations. We identify several stochastic orders that are propagated from the innovations to the Garch process itself, and discuss their...

The Guaranteed Minimum Maturity Benefit is quite a popular feature embedded in several unit-linked policies offered by insurance companies. The value of this benefit depends on several processes assumed to describe both the mortality and the financial dynamics, typically represented by interest...