In this paper we introduce a new jump-diffusion model for stock prices, which takes into account over and under-reaction of the market to incoming news. The jumps' impact on the assets dynamics is twofold: on one hand we use a Poisson process as a driver to obtain discontinuous trajectories and...

Recently several authors focused their attention on Acceptability Indexes (AI) and their applications in Finance. The AI notion turns out to be quite flexible and several applications in different directions have been proposed. In particular, in a paper by A. Cerny and D. Madan illiquid markets...