We revisit well-known stochastic volatility models with constant coefficients for single asset driven by one factor stochastic volatility as homogeneous diffusion and demonstrate an alternative to the classifications provided in Albanese and Lawi, and Henry-Labord`ere, to deduce asset price...

The aim of this paper is to develop a framework for evaluating derivatives if the underlying of the derivative contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5. For this purpose we first prove some results regarding the quasi-conditional...

The aim of this paper is to develop a framework for asset pricing in a continuous time general equilibrium model for a two country Lucas type economy. The model assumes that the output in the two countries follows a jump-diffusion stochastic process characterized by constant growth rates and...

In this paper it is developed a framework for evaluating derivatives if the underlying of the derivative contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5. For this purpose we first prove some results regarding the quasi-conditional...

The purpose of this paper is to obtain the price of the barrier options in a fractional Brownian motion environment in the special case of zero interest rate. As a consequence we derive a reflection principle for the fractional Brownian motion

We investigate how buyer-supplier firm-specific relationships affect security prices. We propose a structural model of firm dependence in a vertically connected network of firms based on cash flow transfers between buyers and suppliers. We prove that financial market completeness in a closed...

We value synthetic CDO tranche spreads, index CDS spreads, k-th-to-default swap spreads and tranchelets in an intensity-based credit risk model with default contagion. The default dependence is modelled by letting individual intensities jump when other defaults occur. The model is reinterpreted...

A new successive over-relaxation method to compute the Black-Scholes implied volatility is introduced. Properties of the new method are fully analyzed, including the well-definedness, and local and global convergence patterns. Quadratic order of convergence is achieved by either a transformation...

We provide two new closed-form approximation methods for pricing spread options on a basket of risky assets: the extended Kirk approximation and the second-order boundary approximation. Numerical analysis shows that while the latter method is more accurate than the former, both methods are...

We prove that the Heston volatility is Malliavin differentiable under the classical Novikov condition and give an explicit expression for the derivative. This result guarantees the applicability of Malliavin calculus in the framework of the Heston stochastic volatility model. Furthermore we...