We show that the sequential closure of a family of probability measures on the canonical space of càdlàg paths satisfying Stricker’s uniform tightness condition is a weak∗ compact set of semimartingale measures in the dual pairing of bounded continuous functions and Radon measures, that...

The information dynamics in finance and insurance applications is usually modelled by a filtration. This paper looks at situations where information restrictions apply so that the information dynamics may become non-monotone. A fundamental tool for calculating and managing risks in finance and...

In financial and actuarial applications, marginal risks and their dependence structure are often modelled separately. While it is sometimes reasonable to assume that the marginal distributions are ‘known’, it is usually quite involved to obtain information on the copula (dependence...

We start with a stochastic control problem where the control process is of finite variation (possibly with jumps) and acts as integrator both in the state dynamics and in the target functional. Problems of such type arise in the stream of literature on optimal trade execution pioneered by...

Dybvig ( 1988a , 1988b ) solves in a complete market setting the problem of finding a payoff that is cheapest possible in reaching a given target distribution (“cost-efficient payoff”). In the presence of ambiguity, the distribution of a payoff is, however, no longer known with certainty. We...

The main result of this paper characterises the continuity from below of monotone functionals on the space Cbof bounded continuous functions on an arbitrary Polish space as lower semicontinuity in the mixed topology. In this particular situation, the mixed topology coincides with the Mackey...

In this paper we give the closed form solution of some optimal stopping problems for processes derived from a diffusion with jumps. Within the possible applications, the results can be interpreted as pricing perpetual American Options under diffusion-jump information.

In this article we are interested in option pricing in markets with bubbles. A bubble is defined to be a price process which, when discounted, is a local martingale under the risk-neutral measure but not a martingale. We give examples of bubbles both where volatility increases with the price...

The Market Models of the term structure of interest rates, in which forward LIBOR or forward swap rates are modelled to be lognormal under the forward probability measure of the corresponding maturity, are extended to a multicurrency setting. If lognormal dynamics are assumed for forward LIBOR...

We introduce a general class of interest rate models in which the value of pure discount bonds can be expressed as a functional of some (low-dimensional) Markov process. At the abstract level this class includes all current models of practical importance. By specifying these models in...