The main result of the paper is a stability theorem for the Snell envelope under convergence in distribution of the underlying processes: more precisely, we prove that if a sequence $(X^n)$ of stochastic processes converges in distribution for the Skorokhod topology to a process $X$ and...

The main result of the paper is a stability theorem for the Snell envelope under convergence in distribution of the underlying processes: more precisely, we prove that if a sequence $(X^n)$ of stochastic processes converges in distribution for the Skorokhod topology to a process $X$ and...

We propose here a theory of cylindrical stochastic integration, recently developed by Mikulevicius and Rozovskii, as mathematical background to the theory of bond markets. In this theory, since there is a continuum of securities, it seems natural to define a portfolio as a measure on maturities....

In this paper we discuss the tractability of stochastic volatility models for pricing and hedging options with the mean-variance hedging approach. We characterize the variance-optimal measure as the solution of an equation between Doléans exponentials; explicit examples include both models...

In this paper we discuss the tractability of stochastic volatility models for pricing and hedging options with the mean-variance hedging approach. We characterize the variance-optimal measure as the solution of an equation between Doleans exponentials; explicit examples include both models...

Abstract We design a discrete time arbitrage-free model under incomplete information for application to credit risk models in the spirit of Duffie and Lando (2001). We assume a fundamental value process evolving according to a complete market model and a sequence of imperfect signals conveying...

A new class of bivariate distributions is introduced that extends the Generalized Marshall-Olkin distributions of Li and Pellerey (2011). Their dependence structure is studied through the analysis of the copula functions that they induce. These copulas, that include as special cases the...

We propose a model and an estimation technique to distinguish systemic risk and contagion in credit risk. The main idea is to assume, for a set of $d$ obligors, a set of $d$ idiosyncratic shocks and a shock that triggers the default of all them. All shocks are assumed to be linked by a...