We define the class of local Levy processes. These are Levy processes time changed by an inhomogeneous local speed function. The local speed function is a deterministic function of time and the level of the process itself. We show how to reverse engineer the local speed function from traded...

The primary goal of the paper is to show the validity of investing capital in fertilizer–mining companies, both from a market return perspective for individual or institutional investors, or from a hedging standpoint for insurance companies and other economic actors exposed to inflation risk...

Path-dependent options have become increasingly popular over the last few years, in particular in FX markets, because of the greater precision with which they allow investors to choose or avoid exposure to well-defined sources of risk. The goal of the paper is to exhibit the power of stochastic...

The first goal of this paper is to clarify the implications of the no arbitrage assumption in the context of several countries and extend to a general setting of continuous-time finance and stochastic interest rates results which were more or less present in classical finance models such as the...