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After the beginning of the credit and liquidity crisis, financial institutions have been considering creating a convertible-bond type contract focusing on Capital. Under the terms of this contract, a bond is converted into equity if the…
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…
The mixture of bond-alternating and uniform S=1/2 antiferromagnetic Heisenberg chains is investigated by the density matrix renormalization group method. The ground state magnetization curve is calculated and the exchange parameters are…
In this paper we extend the reduced-form setting under model uncertainty introduced in [5] to include intensities following an affine process under parameter uncertainty, as defined in [15]. This framework allows to introduce a longevity…
In a discrete time stochastic model of a pension investment funds market Gajek and Kaluszka(2000a) have provided a definition of the average rate of return which satisfies a set of economic correctnes postulates. In this paper the average…
This study is motivated by empirical observations of periodic fluctuations in interest rates, notably long-term economic cycles spanning decades, which the conventional Hull-White short-rate model fails to adequately capture. To address…
Affine term structure models have gained significant attention in the finance literature, mainly due to their analytical tractability and statistical flexibility. The aim of this article is to present both theoretical foundations as well as…
We propose an efficient method to evaluate callable and putable bonds under a wide class of interest rate models, including the popular short rate diffusion models, as well as their time changed versions with jumps. The method is based on…
We study risk-sharing equilibria with general convex costs on the agents' trading rates. For an infinite-horizon model with linear state dynamics and exogenous volatilities, we prove that the equilibrium returns mean-revert around their…
In this paper, a general framework is developed for continuous-time financial market models defined from simple strategies through conditional topologies that avoid stochastic calculus and do not necessitate semimartingale models. We then…
The completeness of a bond market model with infinite number of sources of randomness on a finite time interval in the Heath-Jarrow-Morton framework is studied. It is proved that the market is not complete. A construction of a bounded…
We investigate an iterative mean value method for the inverse (and highly ill-posed) problem of solving the heat equation backwards in time. Semi-group theory is used to rewrite the solution of the inverse problem as the solution of a fixed…
This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings. Uncertainty is modelled by a (possibly uncountable) family of price processes on the same probability space. Our…
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 introduce a class of randomly time-changed fast mean-reverting stochastic volatility models and, using spectral theory and singular perturbation techniques, we derive an approximation for the prices of European options in this setting.…
We propose a pair of approximations that allows the leading order computational cost of contracting an infinite projected entangled-pair state (iPEPS) to be reduced from $\mathcal{O}(\chi^3D^6)$ to $\mathcal{O}(\chi^3D^3)$ when using a…
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.…
We propose a prescription to quantize classical monomials in terms of symmetric and ordered expansions of non-commuting operators of a bosonic theory. As a direct application of such quantization rules, we quantize a classically time…
We introduce a new model for describing the fluctuations of a tick-by-tick single asset price. Our model is based on Markov renewal processes. We consider a point process associated to the timestamps of the price jumps, and marks associated…
We consider a class of asset pricing models, where the risk-neutral joint process of log-price and its stochastic variance is an affine process in the sense of Duffie, Filipovic and Schachermayer [2003]. First we obtain conditions for the…