Lévy processes are the natural continuous-time analogue of random walks and form a rich
class of stochastic processes around which a robust mathematical theory exists. Their …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

Lévy processes are the natural continuous-time analogue of random walks and form a rich
class of stochastic processes around which a robust mathematical theory exists. Their …

The Esscher transform is a time-honored tool in actuarial science. This paper shows that the
Esscher transform is also an efficient technique for valuing derivative securities if the …

This article introduces a class of distortion operators, g α (u)= Φ [Φ-1 (u)+ α] where Φ is the
standard normal cumulative distribution. For any loss (or asset) variable X with a probability …

Index option prices differ systematically from Black–Scholes prices. Out-of-the-money put
prices (and in-the-money call prices) are relatively high compared to the Black–Scholes …

This article is a self-contained survey of utility functions and some of their applications.
Throughout the paper the theory is illustrated by three examples: exponential utility …

We extend the method of Esscher transforms to changing probability measures in a certain
class of stochastic processes that model security prices. According to the Fundamental …

The purpose of this article is to provide, with the help of a fluctuation identity, a generic link
between a number of known identities for the first passage time and overshoot above/below …

We study the pricing of American options on two stocks without expiration date and with
payoff functions which are positively homogeneous with respect to the two stock prices …