Related papers: On the Dybvig-Ingersoll-Ross Theorem
Abstracting an effective theory from a complicated process is central to the study of complexity. Even when the underlying mechanisms are understood, or at least measurable, the presence of dissipation and irreversibility in biological,…
Consider multiple sums $S_n$ on the $d$-dimensional integer grid,which are generated by i.i.d.\ random variables with a positive expectation. We prove the strong law of large numbers, the law of the iterated logarithm and the distributional…
At zero temperature and finite chemical potential, $d$-dimensional loop integrals with complex-valued integrands in the imaginary-time formalism yield results dependent on the integration order. We observe this even with the simplest…
Given a finite honest time, we first show that the associated Az\'ema optional supermartingale can be expressed as the drawdown and the relative drawdown of some local optional supermartingales with continuous running supremum. The relative…
We consider a general one-factor short rate model, in which the instantaneous interest rate is driven by a univariate diffusion with time independent drift and volatility. We construct recursive formula for the coefficients of the Taylor…
This paper derives two stabilizability theorems for a basic class of discrete-time nonlinear systems with multiple unknown parameters. First, we claim that a discrete-time multi-parameter system is stabilizable if its nonlinear growth rate…
We present compelling empirical evidence for a new interpretation of the Forward Rate Curve (FRC) term structure. We find that the average FRC follows a square-root law, with a prefactor related to the spot volatility, suggesting a…
We prove the Moore and the Myhill property for strongly irreducible subshifts over right amenable and finitely right generated left homogeneous spaces with finite stabilisers. Both properties together mean that the global transition…
We investigate LIBOR-based derivatives using a parsimonious field theory interest rate model capable of instilling imperfect correlation between different maturities. Delta and Gamma hedge parameters are derived for LIBOR Caps against…
The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule that links discount rate and marginal utility of aggregate…
This paper studies a dynamic optimal reinsurance and dividend-payout problem for an insurance company in a finite time horizon. The goal of the company is to maximize the expected cumulative discounted dividend payouts until bankruptcy or…
Let $d_1,...,d_r$ be positive integers and let $I = (F_1,...,F_r)$ be an ideal generated by general forms of degrees $d_1,...,d_r$, respectively, in a polynomial ring $R$ with $n$ variables. When all the degrees are the same we give a…
Overnight rates, such as the SOFR (Secured Overnight Financing Rate) in the US, are central to the current reform of interest rate benchmarks. A striking feature of overnight rates is the presence of jumps and spikes occurring at…
In this paper, we establish a market model for the term structure of forward inflation rates based on the risk-neutral dynamics of nominal and real zero-coupon bonds. Under the market model, we can price inflation caplets as well as…
We develop the fundamental theorem of asset pricing in a probability-free infinite-dimensional setup. We replace the usual assumption of a prior probability by a certain continuity property in the state variable. Probabilities enter then…
This paper consists of two parts. In the first part we prove the fundamental theorem of asset pricing under short sales prohibitions in continuous-time financial models where asset prices are driven by nonnegative, locally bounded…
In this article, we explore a class of tractable interest rate models that have the property that the price of a zero-coupon bond can be expressed as a polynomial of a state diffusion process. Our results include a classification of all…
The lifetime behaviour of loans is notoriously difficult to model, which can compromise a bank's financial reserves against future losses, if modelled poorly. Therefore, we present a data-driven comparative study amongst three techniques in…
We propose a linear-time, single-pass, top-down algorithm for multiple testing on directed acyclic graphs (DAGs), where nodes represent hypotheses and edges specify a partial ordering in which hypotheses must be tested. The procedure is…
In this study, we investigate asset price bubbles in a discrete-time, discrete-state market under model uncertainty and short sales prohibitions. Building on a new fundamental theorem of asset pricing and a superhedging duality in this…