Related papers: On the Dybvig-Ingersoll-Ross Theorem

We develop a model for the dynamic evolution of default-free and defaultable interest rates in a LIBOR framework. Utilizing the class of affine processes, this model produces positive LIBOR rates and spreads, while the dynamics are…

Models which postulate lognormal dynamics for interest rates which are compounded according to market conventions, such as forward LIBOR or forward swap rates, can be constructed initially in a discrete tenor framework. Interpolating…

The paper is concerned with stochastic equations for the short rate process $R$ $$ dR(t)=F(R(t))dt+G(R(t-))dZ(t), $$ in the affine model of the bond prices. The equation is driven by a L\'evy martingale $Z$. It is shown that the discounted…

In this work, we propose the balanced implicit method (BIM) to approximate the solution of the delay Cox-Ingersoll-Ross (CIR) model with jump which often gives rise to model an asset price and stochastic volatility . We show that this…

We consider the pricing of derivatives in a setting with trading restrictions, but without any probabilistic assumptions on the underlying model, in discrete and continuous time. In particular, we assume that European put or call options…

We propose a continuous time model for financial markets with proportional transactions costs and a continuum of risky assets. This is motivated by bond markets in which the continuum of assets corresponds to the continuum of possible…

Virtual power plants and load aggregation are becoming increasingly common. There, one regulates the aggregate power output of an ensemble of distributed energy resources (DERs). Marecek et al. [Automatica, Volume 147, January 2023, 110743,…

We consider the problem of modelling the term structure of defaultable bonds, under minimal assumptions on the default time. In particular, we do not assume the existence of a default intensity and we therefore allow for the possibility of…

We consider a continuous-time financial market with no arbitrage and no transactions costs. In this setting, we introduce two types of perpetual contracts, one in which the payoff to the long side is a fixed function of the underlyers and…

We introduce the concept of no-arbitrage in a credit risk market under ambiguity considering an intensity-based framework. We assume the default intensity is not exactly known but lies between an upper and lower bound. By means of the…

In this article, we study the problem of pricing defaultable bond with discrete default intensity and barrier under constant risk free short rate using higher order binary options and their integrals. In our credit risk model, the risk free…

In the paper, we introduce the notion of a local regular supermartingale relative to a convex set of equivalent measures and prove for it the necessary and sufficient conditions of optional Doob decomposition in the discrete case. This…

We extend Robins' theory of causal inference for complex longitudinal data to the case of continuously varying as opposed to discrete covariates and treatments. In particular we establish versions of the key results of the discrete theory:…

We establish explicit socially optimal rules for an irreversible investment deci- sion with time-to-build and uncertainty. Assuming a price sensitive demand function with a random intercept, we provide comparative statics and economic…

The manipulation of LIBOR by a group of banks became one of the major blows to the remaining confidence in financial industry. Yet, despite an enormous amount of popular literature on the subject, rigorous time-series studies are few. In my…

We consider a renewal process with regularly varying stationary and weakly dependent steps, and prove that the steps made before a given time $t$, satisfy an interesting invariance principle. Namely, together with the age of the renewal…

Derrick's theorem on the nonexistence of stable time-independent scalar field configurations [G. H. Derrick, J. Math. Phys. 5, 1252 (1964)] is generalized to finite systems of arbitrary dimension. It is shown that the "dilation" argument…

We know that a continuous function on a closed interval satisfies the Intermediate Value Property. Likewise, the derivative function of a differentiable function on a closed interval satisfies the IVP property which is known as the Darboux…

Sturm theory for second order differential equations was generalized to systems and higher order equations with positive leading coefficient by several authors. Here we propose a Sturm oscillation theorem for indefinite systems of even…

We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framework, we determine the structure of arbitrage-free prices.…