Asset process driven by non-normal Lévy processes have become popular in the last few years. To be mentioned are models, where the asset processes are pure Lévy processes. Such models date back the work of Mandelbrot (1967). But also more complex models as for example stochastic volatility...

We determine the minimal entropy martingale measure for a general class of stochastic volatility models where both price process and volatility process contain jump terms which are correlated. This generalizes previous studies which have treated either the geometric L\'{e}vy case or continuous...

The main contribution of this paper is to identify the strong predictive power of the relative concentration of depth provision, rather than volume of orders, over volatility. To this end, we propose a new measure, relative liquidity (RLIQ), which extracts information from a limit order book...