We propose a general treatment of random variables aggregation accounting for the dependence among variables and bounded or unbounded support of their sum. The approach is based on the extension to the concept of convolution to dependent variables, involving copula functions. We show that some...

In this paper, an effectively computable approximation of the price of an American option in a jump-diffusion market model will be shown: results of convergence in Lp and a.s. will be proved.

This paper suggests a new technique to construct first order Markov processes using products of copula functions, in the spirit of Darsow et al. (1992) [10]. The approach requires the definition of (i) a sequence of distribution functions of the increments of the process, and (ii) a...

A new class of bivariate distributions is introduced that extends the Generalized Marshall-Olkin distributions of Li and Pellerey (2011). Their dependence structure is studied through the analysis of the copula functions that they induce. These copulas, that include as special cases the...

We propose a model and an estimation technique to distinguish systemic risk and contagion in credit risk. The main idea is to assume, for a set of $d$ obligors, a set of $d$ idiosyncratic shocks and a shock that triggers the default of all them. All shocks are assumed to be linked by a...

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...