Singular distributions, such as the Marshall-Olkin one, assign a probability mass to the simultaneous occurrence of events. Aim of this paper is to: i) provide systemic risk measures based on singular distributions; ii) evaluate the presence of a singular component in the joint default...

In this paper we suggest a new technique to construct Markov processes by means of products of copula functions, in the spirit of Darsow et al, (1992). The approach requires to define: i) a sequence of distribution functions of the increments of the process; ii) a sequence of copula functions...

Fourier transform methods in finance "Fourier Transform Methods in Finance is rigorous, instructive, and loaded with useful examples. The authors have synthesized everything from the necessary underlying elements of complex analysis up through methods for derivative pricing. Almost anyone doing...