We consider a financial market driven by a Levy process with filtration  [image omitted]. An insider in this market is an agent who has access to more information than an honest trader. Mathematically, this is modelled by allowing a strategy of an insider to be adapted to a bigger filtration...

A general market model with memory is considered. The formulation is given in terms of stochastic functional di?erential equations, which allow for ?exibility in the modeling of market memory and delays. We focus on the sensitivity analysis of the dependence of option prices on the memory. This...

These Proceedings offer a selection of peer-reviewed research and survey papers by some of the foremost international researchers in the fields of finance, energy, stochastics and risk, who present their latest findings on topical problems. The papers cover the areas of stochastic modeling in...

We consider the problem of utility indifference pricing of a put option written on a non-tradeable asset, where we can hedge in a correlated asset. The dynamics are assumed to be a two-dimensional geometric Brownian motion, and we suppose that the issuer of the option have exponential risk...