In this paper we show that additional enforcement mechanisms in economies with collateral requirements are effective, in the sense that agents can not anticipate payments exceeding the value of collateral requirement. To achieve this goal we show that the suitable arbitrage notion to be used, in...

Up to this point, the literature on the issuance of convertible bonds has neglected financial institutions. Contrary to firms, banks not only can issue convertible bonds but also, after the subprime crises, contingent convertible (CoCo) bonds emerged as an alternative. Hence, the purpose of this...

The aim of this paper is to discuss the use of the Generalized Hyperbolic Distributions to fit Brazilian assets returns. Selected subclasses are compared regarding goodness of fit statistics and distances. Empirical results show that these distributions fit data well. Then we show how to use...

We study the skewness premium (SK) introduced by Bates [<italic>J. Finance</italic>, 1991, <bold>46</bold>(3), 1009-1044] in a general context using Lévy processes. Under a symmetry condition, Fajardo and Mordecki [<italic>Quant. Finance</italic>, 2006, <bold>6</bold>(3), 219-227] obtained that SK is given by Bates' <italic>x</italic>% rule. In this paper, we study SK...

We find necessary and sufficient conditions for the market symmetry property, introduced by Fajardo and Mordecki (Quant Finance 6(3):219–227, <CitationRef CitationID="CR10">2006</CitationRef>), to hold in the Ornstein–Uhlenbeck stochastic volatility model, henceforth OU–SV. In particular, we address the non-Gaussian OU–SV model...</citationref>

In this paper we present new pricing formulas for some single barrier style contracts of the European type when the underlying process is driven by an important class of Lévy processes, which includes the CGMY model, generalized hyperbolic model and Meixner model, frequently used in the...

In this paper we study the asset pricing and individual optimality problem in a two period incomplete markets economy where default is allowed but there are utility penalties and collateral requirements.