The aim of this work is to use a duality approach to study the pricing of derivatives depending on two stocks driven by a bidimensional Lévy process. The main idea is to apply Girsanov's Theorem for Lévy processes, in order to reduce the posed problem to a problem with one Lévy driven stock...

In this paper we present new pricing formulas for some single barrier style contracts of the European type when the underlying process is driven by an important class of Lévy processes, which includes the CGMY model, generalized hyperbolic model and Meixner model, frequently used in the...

We find necessary and sufficient conditions for the market symmetry property, introduced by Fajardo and Mordecki (Quant Finance 6(3):219–227, <CitationRef CitationID="CR10">2006</CitationRef>), to hold in the Ornstein–Uhlenbeck stochastic volatility model, henceforth OU–SV. In particular, we address the non-Gaussian OU–SV model...</citationref>

We study the skewness premium (SK) introduced by Bates [<italic>J. Finance</italic>, 1991, <bold>46</bold>(3), 1009-1044] in a general context using Lévy processes. Under a symmetry condition, Fajardo and Mordecki [<italic>Quant. Finance</italic>, 2006, <bold>6</bold>(3), 219-227] obtained that SK is given by Bates' <italic>x</italic>% rule. In this paper, we study SK...

Contingent Convertibles (“CoCos”) are contingent capital instruments which convert into shares, or have a principal write down, if a trigger event takes place. CoCos exhibit the undesirable so-called death-spiral effect: by actively hedging the equity risk, investors can (unintentionally)...

The aim of this paper is to estimate multivariate affine generalized distributions (MAGH) using market data. We use the Ibovespa, CAC, DAX, FTSE, NIKKEI and S&P500 indexes. We estimate the univariate distributions, bi-variate distributions and six-dimensional distribution. Then we assess their...

In this paper we study the asset pricing and individual optimality problem in a two period incomplete markets economy where default is allowed but there are utility penalties and collateral requirements.

We establish the existence of subgame perfect equilibria in general menu games, known to be sufficient to analyze common agency problems. Our main result states that every menu game satisfying enough continuity properties has a subgame perfect equilibrium. Despite the continuity assumptions that...

In this paper we examine which Brownian subordination with drift exhibits the symmetry property introduced by Fajardo and Mordecki [2006. Quantitative Finance 6, 219-227]. We find that when the subordination results in a Lévy process, a necessary and sufficient condition for the symmetry to...