We consider the problem of stochastic comparison of general Garch-like processes, for different parameters and different distributions of the innovations. We identify several stochastic orders that are propagated from the innovations to the Garch process itself, and discuss their...

Recently several authors focused their attention on Acceptability Indexes (AI) and their applications in Finance. The AI notion turns out to be quite flexible and several applications in different directions have been proposed. In particular, in a paper by A. Cerny and D. Madan illiquid markets...

In power markets one frequently encounters a risk premium being positive in the short end of the forward curve, and negative in the long end. Economically it has been argued that the positive premium is reflecting retailers aversion for spike risk, wheras in the long end of the forward curve the...

In this paper we propose a novel self-exciting jump diffusion model for oil price dynamics based on a Hawkes-type jump-diffusion process. In particular, the jump intensity is stochastic and path dependent, implying that the occurrence of a jump will increase the probability of observing a new...