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....

We propose a valuation model for catastrophe insurance options written on a loss index. This kind of options distinguishes between a loss period [0,T1], during which the catastrophes may happen, and a development period [T1,T2], during which losses entered before T1 are reestimated. Here we...

The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the perilous systemic risk that is generated by the interconnectedness of the system entities and the corresponding...

Motivated by empirical evidence of long range dependence in macroeconomic variables like interest rates we propose a fractional Brownian motion driven model to describe the dynamics of the short and the default rate in a bond market. Aiming at results analogous to those for affine models we...

We study the behavior of the long-term yield in a HJM setting for forward rates driven by Lévy processes. The long-term rates are investigated by examining continuously compounded spot rate yields with maturity going to infinity. In this paper, we generalize the model of Karoui et al. (1997) by...

In an incomplete financial market model, we study a flow in the space of equivalent martingale measures and the corresponding shifting perception of the fundamental value of a given asset. This allows us to capture the birth of a perceived bubble and to describe it as an initial submartingale...

In this paper, we first study the problem of minimal hedging for an insider trader in incomplete markets. We use the forward integral in order to model the insider portfolio and consider a general larger filtration. We characterize the optimal strategy in terms of a martingale condition. In the...

The timing option embedded in a futures contract allows the short position to decide when to deliver the underlying asset during the last month of the contract period. <p> In this paper we derive, within a very general incomplete market framework, an explicit model independent formula for the...</p>