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Form factor axioms are derived in two dimensional integrable defect theories for matrix elements of operators localized both in the bulk and on the defect. The form factors of bulk operators are expressed in terms of the bulk form factors…
The Constant Elasticity of Variance (CEV) model is mathematically presented and then used in a Credit-Equity hybrid framework. Next, we propose extensions to the CEV model with default: firstly by adding a stochastic volatility diffusion…
We consider a financial market with zero-coupon bonds that are exposed to credit and liquidity risk. We revisit the famous Jarrow & Turnbull setting in order to account for these two intricately intertwined risk types. We utilise the…
We propose a dynamic model of dependence structure between financial institutions within a financial system and we construct measures for dependence and financial instability. Employing Markov structures of joint credit migrations, our…
The non-gaussianity of processes observed in financial markets and relatively good performance of gaussian models can be reconciled by replacing the Brownian motion with Levy processes whose Levy densities decay as exp(-lambda|x|) or…
Financial structures such as securitisations, insurance contracts, and other hierarchical claims systems can be interpreted as deterministic allocation mechanisms acting on stochastic inflow processes. This paper develops a general…
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…
We consider a structural credit model for a large portfolio of credit risky assets where the correlation is due to a market factor. By considering the large portfolio limit of this system we show the existence of a density process for the…
Adaptive wave model for financial option pricing is proposed, as a high-complexity alternative to the standard Black--Scholes model. The new option-pricing model, representing a controlled Brownian motion, includes two wave-type approaches:…
We propose identification robust statistics for testing hypotheses on the risk premia in dynamic affine term structure models. We do so using the moment equation specification proposed for these models in Adrian et al. (2013). We extend the…
We discuss two parameterizations of models for marginal independencies for discrete distributions which are representable by bi-directed graph models, under the global Markov property. Such models are useful data analytic tools especially…
We propose a flexible dual functional factor model for modelling high-dimensional functional time series. In this model, a high-dimensional fully functional factor parametrisation is imposed on the observed functional processes, whereas a…
We study factor models that combine latent factors with firm characteristics and propose a new framework for modeling, estimating, and inferring pricing errors. Following Zhang (2024), our approach decomposes mispricing into two distinct…
Pricing of high-dimensional options is one of the most important problems in Mathematical Finance. The objective of this manuscript is to present an original self-contained treatment of the multidimensional pricing. During the past decades…
A two-state master equation based decision making model has been shown to generate phase transitions, to be topologically complex and to manifest temporal complexity through an inverse power-law probability distribution function in the…
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…
There are a number of situations where, when computing prices of financial derivatives using quasi-Monte Carlo (QMC), it turns out to be beneficial to apply an orthogonal transform to the standard normal input variables. Sometimes those…
Factor models are a class of powerful statistical models that have been widely used to deal with dependent measurements that arise frequently from various applications from genomics and neuroscience to economics and finance. As data are…
We consider a two-dimensional model of double-diffusive convection and its time discretisation using a second-order scheme which treat the nonlinear term explicitly (backward differentiation formula with a one-leg method). Uniform bounds on…
This paper is a supplement to our recent paper ``Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models". We introduce the class of regime-switching L\'evy models with memory,…