In this paper we consider a jump-diffusion dynamic whose parameters are driven by a continuous time and stationary Markov Chain on a finite state space as a model for the underlying of European contingent claims. For this class of processes we firstly outline the Fourier transform method both in...

We devise a theoretical model for the optimal dynamical control of an infectious disease whose diffusion is described by the SVIR compartmental model. The control is realized through implementing social rules to reduce the disease’s spread, which often implies substantial economic and social...

In this paper we prove that the price of a defaultable bond, under a Vasicek short rate dynamic coupled with a Cox-Ingersoll-Ross default intensity model, is a real analytic function, in a neighborhood of the origin, of the correlation parameter between the Brownian motions driving the...