Related papers: Modelling interest rates by correlated multi-facto…

We consider a Susceptible-Infective-Recovered (SIR) model, where the mechanism for the renewal of susceptibles is demographic, on a ring with next nearest neighbour interactions, and a family of correlated pair approximations (CPA),…

We consider a market with a term structure of credit risky bonds in the single-name case. We aim at minimal assumptions extending existing results in this direction: first, the random field of forward rates is driven by a general…

Within the likes of any highly contagious and unpredictable disease, lies a predictable and attainable growth rate that researchers can find in order to make logistical conclusions about that particular disease and its affected regions'…

We develop a general term structure framework taking stochastic discontinuities explicitly into account. Stochastic discontinuities are a key feature in interest rate markets, as for example the jumps of the term structures in…

Trading a financial instrument pushes its price and those of other assets, a phenomenon known as cross-impact. To be of use, cross-impact models must fit data and be well-behaved so they can be applied in applications such as optimal…

We present a flexible approach for the valuation of interest rate derivatives based on Affine Processes. We extend the methodology proposed in Keller-Ressel et al. (2009) by changing the choice of the state space. We provide…

In this article we show how to analyze the covariation of bond prices nonparametrically and robustly, staying consistent with a general no-arbitrage setting. This is, in particular, motivated by the problem of identifying the number of…

This work introduces a new framework for modeling financial markets through an interpretable probabilistic state machine. By clustering historical returns based on momentum and risk features across multiple time horizons, we identify…

The Vasicek model is a commonly used interest rate model, and there exist many extensions and generalizations of it. However, most generalizations of the model are either univariate or assume the noise process to be Gaussian, or both. In…

We formulate a forward inflation index model with multi-factor volatility structure featuring a parametric form that allows calibration to correlations between indices of different tenors observed in the market. Assuming the nominal…

We propose a new model selection criterion for mixed effects regression models that is computable when the model is fitted with a two-step method, even when the structure and the distribution of the random effects are unknown. The criterion…

This article presents a new model to predict the evolution of infective diseases under uncertainty or low-quality information, just as it has happened in the initial scenario during the CoVid-19 spread in China and Europe. The model has…

In this paper, the relevance of the Feller conditions in discrete time macro-finance term structure models is investigated. The Feller conditions are usually imposed on a continuous time multivariate square root process to ensure that the…

In finance, durations between successive transactions are usually modeled by the autoregressive conditional duration model based on a continuous distribution omitting zero values. Zero or close-to-zero durations can be caused by either…

We consider covariate adjusted regression (CAR), a regression method for situations where predictors and response are observed after being distorted by a multiplicative factor. The distorting factors are unknown functions of an observable…

Macroeconomic factors have a critical impact on banking credit risk, which cannot be directly controlled by banks, and therefore, there is a need for an early credit risk warning system based on the macroeconomy. By comparing different…

In this paper we propose a bivariate generalization of a weighted indexed semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that financial returns are described by a weighted indexed semi-Markov chain…

In this article we propose a study of market models starting from a set of axioms, as one does in the case of risk measures. We define a market model simply as a mapping from the set of adapted strategies to the set of random variables…

Continuous-time multi-state survival models can be used to describe health-related processes over time. In the presence of interval-censored times for transitions between the living states, the likelihood is constructed using transition…

We derive a nonparametric test for constant beta over a fixed time interval from high-frequency observations of a bivariate \Ito semimartingale. Beta is defined as the ratio of the spot continuous covariation between an asset and a risk…