In March 2020 the U.S. equity market is suffering large losses. This is primarily due to COVID-19, which probably also caused a drop in the shale oil price. US market indices are fluctuating this month much more than any time in history. In this short note, we are using two high frequency market...

This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market micro-structure. It allows multiple automated traders and/or researchers to simultaneously connect to an exchange-like environment, where they are able to...

This article introduces a new methodology to approximate the prices of variance, gamma and corridor swaps in a stochastic volatility framework applicable to any given tree structure. The efficiency of this tree method is based on the decomposing the payoff structure into nested conditional...

In this paper, we propose an approach to modeling the jump component of a jump-diffusion model using a log mixture of normals distribution. We define explicitly theproperties of the distribution and use it to create an analytic formula for Europeanoption price. Numerous examples of applications...

In a recent study, we present a tree methodology to evaluate the expected generalized realized variance in a general stochastic volatility model. This provides an efficient way of calculating the fair value of the strike for variance swaps. In this article, we expand the methodology to price...

Long term memory effects in stock market indices that represent internationally diversified stocks are analyzed in this paper and the results are compared with the S&P 500 index. The Hurst exponent and the Detrended fluctuation analysis (DFA) technique are the tools used for this analysis. The...

We study an integro-differential parabolic problem modelling a process with jumps and stochastic volatility in financial mathematics. Under suitable conditions, we prove the existence of solutions in a general domain using the method of upper and lower solutions and a diagonal argument