This paper considers interest rate term structure models in a market attracting both continuous and discrete types of uncertainty. The event-driven noise is modelled by a Poisson random measure. Using as numeraire the growth optimal portfolio, interest rate derivatives are priced under the...

This paper considers the problem of pricing American options when the dynamics of the underlying are driven by both stochastic volatility following a square-root process as used by Heston [<italic>Rev. Financial Stud.</italic>, 1993, <bold>6</bold>, 327--343], and by a Poisson jump process as introduced by Merton [<italic>J....</italic>

This paper extends the integral transform approach of McKean [<italic>Ind. Manage. Rev.</italic>, 1965, <bold>6</bold>, 32--39] and Chiarella and Ziogas [<italic>J. Econ. Dyn. Control</italic>, 2005, <bold>29</bold>, 229--263] to the pricing of American options written on more than one underlying asset under the Black and Scholes [<italic>J. Polit. Econ.</italic>, 1973,...</bold>

We introduce an order-driven market model with heterogeneous agents trading via a central order matching mechanism. Traders set bids and asks and post market or limit orders according to exogenously fixed rules. We investigate how different trading strategies may affect the dynamics of price,...