Using the Donsker-Prokhorov invariance principle, we extend the Kim-Stoyanov-Rachev-Fabozzi option pricing model to allow for variably-spaced trading instances, an important consideration for short-sellers of options. Applying the Cherny-Shiryaev-Yor invariance principles, we formulate a new...

In this paper, we empirically investigate the impact of intensified competition on rating quality in the credit rating market for residential mortgage-backed securities (RMBS) in the period 2017-2020. We provide evidence that competition between large credit rating agencies (CRAs) (Moody's and...

In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...

In this paper we will introduce a hybrid option pricing model that combines the classical tempered stable model and regime switching by a hidden Markov chain. This model allows the description of some stylized phenomena about asset return distributions that are well documented in financial...