In this article, we derive a closed-form pricing formula for catastrophe equity put options under a stochastic interest rate framework. A distinguishing feature of the proposed solution is its simplified form in contrast to several recently published formulae that require evaluating several layers of infinite sums of $n$-fold convoluted distribution functions. As an application of the proposed formula, we consider two different frameworks and obtain the closed-form formula for the joint characteristic function of the asset price and the losses, which is the only required ingredient in our pricing formula. The prices obtained by the newly derived formula are compared with those obtained using Monte-Carlo simulations to show the accuracy of our formula.

In this paper, we investigate the mean-square convergence of the split-step θ-scheme for nonlinear stochastic differential equations with jumps. Under some standard assumptions, we rigorously prove that the strong rate of convergence of the split-step θ-scheme in strong sense is one half. Some numerical experiments are carried out to assert our theoretical result.

In the dual model, the surplus of a company is a Lévy process with sample paths that are skip-free downwards. In this paper, the aggregate gains process is the sum of a shifted compound Poisson process and an independent Wiener process. By means of Laplace transforms, it is shown how the expectation of the discounted dividends until ruin can be calculated, if a barrier strategy is applied, and how the optimal dividend barrier can be determined. Conditions for optimality are discussed and several numerical illustrations are given. Furthermore, a family of models is analysed where the individual gain amount distribution is rescaled and compensated by a change of the Poisson parameter.

It is well established that resource variability generated by spatial patchiness and turbulence is an importantinfluence on the growth and recruitment of planktonic fish larvae. Empirical data show fractal-like prey distributions, and simulationsindicate that scale-invariant foraging strategies may be optimal. Here we show how larval growth and recruitment in a turbulent environment canbe formulated as a hitting time problem for a jump-diffusion process. We present two theoretical results. Firstly, if jumps are of a fixed sizeand occur as a Poisson process (embedded within a drift-diffusion), recruitment is effectively described by a diffusion process alone.Secondly, in the absence of diffusion, and for “patchy” jumps (of negative binomial size with Pareto inter-arrivals), the encounter processbecomes superdiffusive. To synthesise these results we conduct a strategic simulation study where “patchy” jumps are embedded in adrift-diffusion process. We conclude that increasingly Lévy-like predator foraging strategies can have a significantly positive effect onrecruitment at the population level.