1. These notes are the first half of the contents of the course given by the second author at the Bachelier Seminar (February 8-15-22 2008) at IHP. They also correspond to topics studied by the firstâ€¦ (More)

We study the short-time aymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous) Ito semimartingale; we compute the leading term in the asymptotics in terms ofâ€¦ (More)

1. These notes are the second half of the contents of the course given by the second author at the Bachelier Seminar (8-15-22 February 2008) at IHP. They also correspond to topics studied by theâ€¦ (More)

In this short note, the identity in law, which was obtained by P. Salminen [6], between on one hand, the Ornstein-Uhlenbeck process with parameter Î³, killed when it reaches 0, and on the other hand,â€¦ (More)

We derive a forward partial integro-differential equation for prices of call options in a model where the dynamics of the underlying asset under the pricing measure is described by a -possiblyâ€¦ (More)