In this paper we present new pricing formulas for some single Barrier style contracts of European type when the underlying process is driven by an important class of Lévy processes, that includes CGMY model, Generalized Hyperbolic Model and Mexiner Model, when no symmetry properties are...

We study the optimal continuous trading strategy of an insider who is subject to the possibility of law penalties due to her illegal trading activity. This possibility was absent in previous works. Also, we discuss how to obtain the optimal penalty rule that maximize a welfare function

Up to this point, the literature on the issuance of convertible bonds has neglected financial institutions. Contrary to firms, banks not only can issue convertible bonds but also, after the subprime crises, contingent convertible (CoCo) bonds emerged as an alternative. Hence, the purpose of this...

We propose that a hyperinflation event has a long-lasting effect on household investment behavior. We want to investigate whether future stock market participation can be influenced by a single extreme macroeconomic instability episode. We use data from the Brazilian Institute of Geography and...

In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a xed future date. The construction of these measures is based on the...

It is generally said that out-of-the-money call options are expensive and one can ask the question from which moneyness level this is the case. Expensive actually means that the price one pays for the option is more than the discounted average payoff one receives. If so, the option bears a...

A green bond is a type of fixed-income security that raises money to invest in predetermined climate and environmental projects, in contrast to conventional debt instruments, where the use of proceeds is not specified in the terms. The difference in yield between a green bond and an otherwise...

It is argued that the growth in the breadth of option strikes traded after the financial crisis of 2008 poses difficulties for the use of Fourier inversion methodologies in volatility surface calibration. Continuous time Markov chain approximations are proposed as an alternative. They are shown...