Related papers: On Pricing Basket Credit Default Swaps
We derive a closed-form approximation for the credit default swap (CDS) spread in the two-dimensional shifted square-root diffusion (SSRD) model using asymptotic coefficient expansion technique to approximate solutions of nonlinear partial…
The probability distributions of the order parameter for two models in the directed percolation universality class were evaluated. Monte Carlo simulations have been performed for the one-dimensional generalized contact process and the…
Sampling from unnormalized multimodal distributions with limited density evaluations remains a fundamental challenge in machine learning and natural sciences. Successful approaches construct a bridge between a tractable reference and the…
Many complex time series can be effectively subdivided into distinct regimes that exhibit persistent dynamics. Discovering the switching behavior and the statistical patterns in these regimes is important for understanding the underlying…
In this paper we model basketball plays as episodes from team-specific non-stationary Markov decision processes (MDPs) with shot clock dependent transition probabilities. Bayesian hierarchical models are employed in the modeling and…
One of the fundamental assumptions in stochastic control of continuous time processes is that the dynamics of the underlying (diffusion) process is known. This is, however, usually obviously not fulfilled in practice. On the other hand,…
We propose a simple yet effective divide-and-discard (DD) approach to guaranteed state estimation for nonlinear discrete-time systems. Our method iteratively subdivides interval enclosures of the state and propagates them forward in time…
This paper examines the identification and estimation of treatment effects in staggered adoption designs -- a common extension of the canonical Difference-in-Differences (DiD) model to multiple groups and time-periods -- in the presence of…
This paper develops a novel analytically tractable Neumann series of Bessel functions representation for pricing (and hedging) European-style double barrier knock-out options, which can be applied to the whole class of one-dimensional…
We develop a pricing model for Sovereign Contingent Convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's Credit Default Swap (CDS) spread. We model CDS spread regime switching, which is prevalent during crises, as…
This paper studies a generalized busy-time scheduling model on heterogeneous machines. The input to the model includes a set of jobs and a set of machine types. Each job has a size and a time interval during which it should be processed.…
Adapting pretrained diffusion models to downstream objectives such as inverse problems often requires expensive test-time guidance or optimization. We propose a principled framework for generating high-quality reward-aligned samples at…
In this paper, we develop a novel high-dimensional time-varying coefficient estimation method, based on high-dimensional It\^o diffusion processes. To account for high-dimensional time-varying coefficients, we first estimate local (or…
Theoretical models applied to option pricing should take into account the empirical characteristics of the underlying financial time series. In this paper, we show how to price basket options when assets follow a shifted log-normal process…
Mathematical theory of selection is developed within the frameworks of general models of inhomogeneous populations with continuous time. Methods that allow us to study the distribution dynamics under natural selection and to construct…
We describe an exact approach for calculating transition probabilities and waiting times in finite-state discrete-time Markov processes. All the states and the rules for transitions between them must be known in advance. We can then…
The Florence branch of an Italian supermarket chain recently implemented a strategy that permanently lowered the price of numerous store brands in several product categories. To quantify the impact of such a policy change, researchers often…
We propose a statistical model for weighted temporal networks capable of measuring the level of heterogeneity in a financial system. Our model focuses on the level of diversification of financial institutions; that is, whether they are more…
In this paper we propose a closed-form approximation for the price of basket options under a multivariate Black-Scholes model, based on Taylor expansions and the calculation of mixed exponential-power moments of a Gaussian distribution. Our…
We develop a discrete-time version of the blended dynamics theorem for the use of designing distributed computation algorithms. The blended dynamics theorem enables to predict the behavior of heterogeneous multi-agent systems. Therefore,…