Empirical correlations of asset returns in a group of stocks are approximated by the exponential correlation model that populates a Toeplitz matrix with closed-form expressions for its eigenvalues and ...

Some examples of steep, reproductive exponential models are considered. These models are shown to possess a τ-parallel foliation in the terminology of Barndorff-Nielsen and Blaesild. The independence ...

We demonstrate that a double exponential jump diffusion model can lead to an analytic approximation for finite-horizon American options (by extending the Barone-Adesi and Whaley method) and analytical ...