The papers (Forde and Jacquier in Finance Stoch. 15:755–780, <CitationRef CitationID="CR1">2011</CitationRef>; Forde et al. in Finance Stoch. 15:781–784, <CitationRef CitationID="CR2">2011</CitationRef>) study large-time behaviour of the price process in the Heston model. This note corrects typos in Forde and Jacquier (Finance Stoch. 15:755–780, <CitationRef CitationID="CR1">2011</CitationRef>), Forde et al. (Finance...</citationref></citationref></citationref>

In actuarial modeling, right-skewed distributions are of paramount importance. Typically, they have the property to become unimodal and symmetric after applying some increasing concave transformation T (e.g., log-transformation); we then refer to them as T-unimodal T-symmetric distributions. In...

The Omega performance measure introduced by Keating and Shadwick (2002a, 2002b) is widely used in asset allocation and performance measurement. We contribute to the debates around this measure by focusing on its relation and compatibility with Second-order Stochastic Dominance, introducing two...

In this paper, we give an explicit representation of the lowest cost strategy (or "cost-efficient" strategy) to achieve a given payoff distribution. For any inefficient strategy, we are able to construct financial derivatives which dominate in the sense of first-order or second-order stochastic...

We study the impact of dependence uncertainty on E(X_1X_2 · · · X_d) when X_i ∼ F_i for all i. Under some conditions on the Fi, explicit sharp bounds are obtained and a numerical method is provided to approximate them for arbitrary choices of the F_i. The results are applied to assess the...

When entering into a tontine, the value of the tontine for the participant highly depends on its composition. However, participants typically subscribe to the scheme without any knowledge of either the composition of the tontine, or even its exact payout scheme. Herein, we quantify the value of...