We study copulas generated by elliptical distributions. We show that their tail dependence
can be simply computed with default routines on Student's t-distribution given Kendall's τ and …

We present an approach for modelling dependencies in exponential Lévy market models
with arbitrary margins originated from time changed Brownian motions. Using weak …

This paper surveys a class of Generalised Ornstein-Uhlenbeck (GOU) processes associated
with Lévy processes, which has been recently much analysed in view of its applications in …

We study the valuation of unit-linked life insurance contracts with surrender guarantees.
Instead of solving an optimal stopping problem, we propose a more realistic approach …

The occurrence and the transmission of large shocks in international equity markets is of
essential interest to the study of market integration and financial crises. To this aim, implied …

We unify and extend a number of approaches related to constructing multivariate Madan–Seneta
Variance-Gamma models for option pricing. Complementing Grigelionis’ (2007) class, …

The discrete-time GARCH methodology which has had such a profound influence on the
modelling of heteroscedasticity in time series is intuitively well motivated in capturing many ‘…

This paper documents nonlinear cross-sectional dependence in the term structure of US-Treasury
yields and points out risk management implications. The analysis is based on a …

Mathematical Finance and Econometrics can be viewed as two sides of a coin. Econometrics
concentrates on finding optimal models concerning statistical properties like correlations …

We study the valuation and hedging of unit-linked life insurance contracts in a setting where
mortality intensity is governed by a stochastic process. We focus on model risk arising from …