This paper proposes a novel analytical pricing–hedging framework for volatility derivatives
which simultaneously takes into account rough volatility and volatility jumps. Directly targeting …

In this article, the author presents a model with jumps and stochastic volatility, based on two
correlated variance-gamma processes combined with an Ornstein–Uhlenbeck process with …

Stochastic clocks represent a class of time change methods for incorporating trading activity
into continuous-time financial models, with the ability to deal with typical asymmetrical and …

The present paper is concerned with the integral of the absolute value of a Brownian motion
with drift. By establishing an asymptotic expansion of the space Laplace transform, we …

The aim of this paper is to derive a set of easily implementable formulas regarding the probability
distribution of the integral of a squared Brownian motion with drift. By reestablishing the …

In this paper we study set-valued Volterra-type stochastic integrals driven by L\'{e}vy processes.
Upon extending the classical definitions of set-valued stochastic integral functionals to …

▶ A motivating example: An investor in an int’l economy faces two goods (domestic (A) and
foreign (B)). Rules of comparison:(A, B) is preferred over another pair only if A-amount has …

Recent empirical evidence has highlighted the crucial role of jumps in both price and
volatility within the cryptocurrency market. In this paper, we introduce an analytical model …

In this article, the running average of a subordinator with a tempered stable distribution is
considered. We investigate a family of previously unexplored infinite‐activity subordinators …

In this paper we discuss the average of a Lévy process with a marginal negative-binomial
distribution taken over a finite time interval, and simultaneously introduce a new class of …