Using a suitable change of probability measure, we obtain a novel Poisson series representation for the arbitrage- free price process of vulnerable contingent claims in a regime-switching market driven by an underlying continuous- time Markov process. As a result of this representation, along...

Conditions ensuring that are given for a Lévy process X with Lévy measure [nu] and for unbounded moment functions f. Compared with previous works, the moment functions considered here satisfy very mild conditions aimed at controlling how fast f grows at infinity. As an application of our...

We propose a feasible method for approximating the marginal distributions and densities of a bounded variation Lévy process using polynomial expansions. We provide a fast recursive formula for approximating the coefficients of the expansions and estimating the order of the approximation error....

Let X=(Xt)t=0 be a Lévy process with absolutely continuous Lévy measure [nu]. Small-time expansions of arbitrary polynomial order in t are obtained for the tails , y0, of the process, assuming smoothness conditions on the Lévy density away from the origin. By imposing additional regularity...

We consider a stochastic volatility model with Lévy jumps for a log-return process Z=(Zt)t≥0 of the form Z=U+X, where U=(Ut)t≥0 is a classical stochastic volatility process and X=(Xt)t≥0 is an independent Lévy process with absolutely continuous Lévy measure ν. Small-time expansions, of...