We consider counterparty risk for Credit Default Swaps (CDS) in presence of correlation
between default of the counterparty and default of the CDS reference credit. Our approach is …

This paper shows how the recently developed fractional fft algorithm (frft) can be used to
retrieve option prices from the corresponding characteristic functions. The frft algorithm has the …

This article presents a procedure to approximate European option prices for models with
stochastic volatilities and jumps, focusing on the non-affine case. Unlike simulation-based …

In this paper we develop a new estimation method for extracting non-affine latent stochastic
volatility and risk premia from measures of model-free realized and risk-neutral integrated …

This paper introduces a general regime switching Levy process, and constructs the
characteristic function in closed form. Correlations between the underlying Markov chain and the …

A regime switching model in continuous time is introduced where a variety of jumps are
allowed in addition to the diffusive component. The characteristic function of the process is …

In this paper we extend option pricing under Lévy dynamics, by assuming that the volatility of
the Lévy process is stochastic. We, therefore, develop the analog of the standard stochastic …

For calculating advanced CVA VaR capital requirement, Basel III states that, where the
counterparty does not have liquid CDS spreads, financial institutions shall use a proxy spread …

In this paper we introduce a pricing model for a European call option when the price of the
underlying stock (asset) follows a random walk with Markov Chain type of shifts in the drift and …

This paper deals with dependence across marginally exponentially distributed arrival times,
such as default times in financial modeling or inter-failure times in reliability theory. We …