We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuous-state branching processes with immigration and Ornstein-Uhlenbeck type processes.(...)

This paper shows the infinite time ruin probability for an insurance company in the classical Cramér-Lundberg model with finite exponential moments.

We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuousstate branching processes with immigration and Ornstein-Uhlenbeck type processes. We show, and provide foundations for, a wide range of financial...

We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuousstate branching processes with immigration and Ornstein-Uhlenbeck type processes. We show, and provide foundations for, a wide range of financial...

We consider the maximization of the long-term growth rate in the Black–Scholes model under proportional transaction costs as in Taksar et al. (Math. Oper. Res. 13:277–294, <CitationRef CitationID="CR24">1988</CitationRef>). Similarly as in Kallsen and Muhle-Karbe (Ann. Appl. Probab. 20:1341–1358, <CitationRef CitationID="CR14">2010</CitationRef>) for optimal consumption over...</citationref></citationref>

We present a unified approach to Doob's $L^p$ maximal inequalities for $1\leq p\infty$. The novelty of our method is that these martingale inequalities are obtained as consequences of elementary deterministic counterparts. The latter have a natural interpretation in terms of robust hedging....

An instalment option is a European option in which the premium, instead of being paid up-front, is paid in a series of instalments. If all instalments are paid the holder receives the exercise value, but the holder has the right to terminate payments on any payment date, in which case the option...