We investigate how the spectral risk measure associated with holding stocks rather than a risk-free deposit, depends on the holding period. Previous papers have shown that within a limited class of spectral risk measures, and when the stock price follows specific processes, spectral risk becomes...

In the information-based pricing framework of Brody, Hughston & Macrina, the market filtration {F t } tÏ0 {Ft}tÏ0 is generated by an information process {ξ t } tÏ0 {ξt}tÏ0 defined in such a way that at some fixed time T an F T FT -measurable random variable X T XT is "revealed". A cash...

In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed to be described by a stochastic differential equation driven by Teugels martingales. Noticing that the insurance firm is able to control its...

Abstract We consider a Lévy driven stochastic convolution, also called continuous time Lévy driven moving average model X(t)=\int_{0}^{t}a(t-s)\,dZ(s) , where 𝑍 is a Lévy martingale and the kernel a(\,{.}\,) a deterministic function square integrable on \mathbb{R}^{+} . Given 𝑁 i.i.d....

Summary We introduce and study no-good-deal valuation bounds defined in terms of expected utility. A utility-based good deal is a payoff whose expected utility is too high in comparison to the utility of its price. Forbidding good deals induces, via duality, restrictions on pricing kernels and...

Summary We introduce a class of optimal stopping problems in which the gain is at least a fraction of the initial value. From a financial point of view this structure can be seen as a guarantee for the holder of an American option. It turns out that the optimal strategies are of two-sided type...

Purpose Recently, studied theoretical properties and parameter estimation of continuous time processes derived as solutions of a generalized Langevin equation (GLE). In this paper, the authors extend the model to a wider class of memory kernels and then propose a bond and bond option valuation...

This paper studies the effect of time–inhomogeneous jumps and leverage type effects on realised variance calculations when the logarithmic asset price is given by a Lévy–driven stochastic volatility model. In such a model, the realised variance is an inconsistent estimator of the integrated...