Mean reversion, stochastic volatility, convenience yield and presence of jump clustering are well documented salient features of commodity markets, where Asian options are very popular. We propose a model which takes into account all these stylized features. We first state our model under the...

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...

In this paper we propose a method for pricing Asian options in market models with the risky asset dynamics driven by a Hawkes process with exponential kernel. For these processes the couple (λ(t), X(t)) is affine, this property allows to extend the general methodology introduced by Hubalek,...

In the present paper we give some preliminary results for option pricing and hedging in the framework of the Bates model based on quadratic risk minimization. We provide an explicit expression of the mean-variance hedging strategy in the martingale case and study the Minimal Martingale measure...

In this paper we offer a systematic survey and comparison of the Esscher martingale transform for linear processes, the Esscher martingale transform for exponential processes, and the minimal entropy martingale measure for exponential Levy models, and present some new results in order to give a...

In the present paper we present a finite element approach for option pricing in the framework of a well-known stochastic volatility model with jumps, the Bates model. In this model the asset log-returns are assumed to follow a jump-diffusion model where the jump component consists of a Levy...

It has been empirically observed that correlation matrices of forward interest rates have the first three eigenvalues which are simple and their corresponding eigenvectors, termed as shift, slope and curvature respectively, with elements presenting changes of sign in a regular way. These...

In this paper we present some results on Geometric Asian option valuation for affine stochastic volatility models with jumps. We shall provide a general framework into which several different valuation problems based on some average process can be cast, and we shall obtain close-form solutions...

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...

We compute and then discuss the Esscher martingale transform for exponential processes, the Esscher martingale transform for linear processes, the minimal martingale measure, the class of structure preserving martingale measures, and the minimum entropy martingale measure for stochastic...