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...

We propose an extension of the model proposed by Barndorff-Nielsen and Shephard, based on stochastic processes of Ornstein-Uhlenbeck taking values in Hilbert spaces, including the leverage effect. We compute explicitly the characteristic function of the logreturn and the volatility processes. By...

We propose an extension of the $\Gamma$-OU Barndorff-Nielsen and Shephard model taking into account jump clustering phenomena. We assume that the intensity process of the Hawkes driver coincides, up to a constant, with the variance process. By applying the theory of continuous-state branching...

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...