We present a new quadratic Gaussian short rate model with a stochastic lower bound to capture changes in the yield curve including negative interest rates, associated with changes in monetary policy stances. We model the lower bound by a Brownian …

We revisit two classical problems: the determination of the law of the underlying with respect to a risk-neutral measure on the basis of option prices, and the pricing of options with convex payoffs in terms of prices of call options with the same …

Recent theoretical and empirical advancements highlight the pivotal role played by higher-order moments, such as skewness, in shaping financial decision-making. Nevertheless, contemporary experimental research predominantly relies on …

Classic diffusion processes fail to explain asset return volatility. Many empirical findings on asset return time series, such as heavy tails, skewness and volatility clustering, suggest decomposing the volatility of an asset’s return into two …

The paper investigates the complementary role of hard and soft information in affecting the bankruptcy outcome of in-court procedures. Previous literature mostly focuses on hard information as driver of the bankruptcy outcome. In a bankruptcy …