Transaction-cost models in continuous-time markets are considered. Given that investors decide to buy or sell at certain time instants, we study the existence of trading strategies that reach a certain final wealth level in continuous-time markets, under the assumption that transaction costs,...

Fixed income investments have been a topic of broad interest, in particular for institutional investors such as insurance companies and pensions schemes. They were considered safe heavens in turbulent times by almost all other institutional and individual investors and are used for strategies...

Transaction-cost models in continuous-time markets are considered. Given that investors decide to buy or sell at certain time instants, we study the existence of trading strategies that reach a certain final wealth level in continuous-time markets, under the assumption that transaction costs,...

Transaction-cost models in continuous-time markets are considered. Given that investors decide to buy or sell at certain time instants, we study the existence of trading strategies that reach a certain final wealth level in continuous-time markets, under the assumption that transaction costs,...

We consider the pricing of products that combine insurance with investments, known as variable annuities. We have visited in the past the problem when the premium is paid with a single instalment and the cost of insurance is collected either at the beginning of the policy or periodically. We...

Most of the currently known option pricing techniques utilize the underlying asset price and strike price, its volatility and time to maturity, as well as the risk freerate. However, both the volatility and the risk-free rate are anticipated via the price move of the underlying asset. Looking at...