The story of modelling financial markets with stochastic processes began in 1900 with the
study of Bachelier (1900). He modelled stocks as a Brownian motion with drift. However, the …

The book offers an accessible reference for researchers in the probability, statistics and
special functions communities. It gives a variety of interdisciplinary relations between the two …

We look at the problem of pricing CoCo bonds where the underlying risky asset dynamics
are given by a smile conform model, more precisely an exponential Lévy process …

The only normal martingales which posses the chaotic representation property and the weaker
predictable representation property and which are at the same time also Lévy processes, …

The role of characteristic functions in finance has been strongly amplified by the development
of the general option pricing formula by Carr and Madan. As these functions are defined …

In this paper we show the existence and uniqueness of a solution for backward stochastic
differential equations driven by a Lévy process with moments of all orders. The results are …

We show that several advanced equity option models incorporating stochastic volatility can
be calibrated very nicely to a realistic option surface. More specifically, we focus on the …

We discuss a Lévy multivariate model for financial assets which incorporates jumps, skewness,
kurtosis and stochastic volatility. We use it to describe the behaviour of a series of stocks …

We study an unusual connection between orthogonal polynomials and martingales. We
prove that all classical orthogonal polynomials from the Meixner class, when evaluated at a …

Since the financial crisis of 2008, next to banks, insurers have received increasing attention
from researchers and regulators because of their crucial role in the financial system. A key …