Related papers: Continuous time Ehrenfest process in term structur…

Consider the problem of pricing options on forwards in energy markets, when spot prices follow a geometric multi-factor model in which several rates of mean reversion appear. In this paper we investigate the role played by slow mean…

This paper investigates reverse auctions that involve continuous values of different types of goods, general nonconvex constraints, and second stage costs. We seek to design the payment rules and conditions under which coalitions of…

This paper studies a large number of homogeneous Markov decision processes where the transition probabilities and costs are coupled in the empirical distribution of states (also called mean-field). The state of each process is not known to…

We introduce an exact replica method for the study of critical systems with quenched bond randomness in two dimensions. For the $q$-state Potts model we show that a line of renormalization group fixed points interpolates from weak to strong…

In this paper, we consider option pricing in a framework of the fractional Heston-type model with $H>1/2$. As it is impossible to obtain an explicit formula for the expectation $\mathbb E f(S_T)$ in this case, where $S_T$ is the asset price…

The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a joint geometric Brownian motion with time-dependent and…

This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipovi\'c, Overbeck and Schmidt (2009) to the case where the forward rates are driven by a finite…

We propose a constructive framework for the super-hedging problem of a European contingent claim under proportional transaction costs in discrete time. Our main contribution is an explicit recursive scheme that computes both the…

This paper quantifies the interplay between the non-arbitrage notion of No-Unbounded-Profit-with-Bounded-Risk (NUPBR hereafter) and additional information generated by a random time. This study complements the one of…

This paper characterizes differentiable subgame perfect equilibria in a continuous time intertemporal decision optimization problem with non-constant discounting. The equilibrium equation takes two different forms, one of which is…

The Ornstein-Uhlenbeck (OU) process, a mean-reverting stochastic process, has been widely applied as a time series model in various domains. This paper describes the design and implementation of a model-based synthetic time series model…

The aim of this paper is to investigate the rebinding effect, a phenomenon describing a "short-time memory" which can occur when projecting a Markov process onto a smaller state space. For guaranteeing a correct mapping by the Markov State…

We study the term structure equation for single-factor models that predict nonnegative short rates. In particular, we show that the price of a bond or a bond option is the unique classical solution to a parabolic differential equation with…

We construct a zero-entropy weakly mixing finite-valued process with the exponential limit law for return resp. hitting times. This limit law is obtained in almost every point, taking the limit along the full sequence of cylinders around…

We use a 1-dimensional tight binding model with an impurity site characterized by electron-vibration coupling, to describe electron transfer and localization at zero temperature, aiming to examine the process of polaron formation in this…

Irreversibility is commonly quantified by entropy production. An external observer can estimate it through measuring an observable that is antisymmetric under time-reversal like a current. We introduce a general framework that, inter alia,…

We propose a model for the credit markets in which the random default times of bonds are assumed to be given as functions of one or more independent "market factors". Market participants are assumed to have partial information about each of…

In this paper, we study finite-time ruin probabilities for the compound Markov binomial risk model - a discrete-time model where claim sizes are modulated by a finite-state ergodic Markov chain. In the classic (non-modulated) case, the risk…

This paper proposes a Monte Carlo technique for pricing the forward yield to maturity, when the volatility of the zero-coupon bond is known. We make the assumption of deterministic default intensity (Hazard Rate Function). We make no…

We consider mean field game systems in time-horizon $(0,T)$, where the individual cost functional depends locally on the density distribution of the agents, and the Hamiltonian is locally uniformly convex. We show that, even if the coupling…