Related papers: Dynamic Term Structure Modelling with Default and …
We consider a stochastic volatility model where the dynamics of the volatility are given by a possibly infinite linear combination of the elements of the time extended signature of a Brownian motion. First, we show that the model is…
This paper is concerned with finite dimensional models for the entire term structure for energy futures. As soon as a finite dimensional set of possible yield curves is chosen, one likes to estimate the dynamic behaviour of the yield curve…
We focus on the problem estimating a monotone trend function under additive and dependent noise. New point-wise confidence interval estimators under both short- and long-range dependent errors are introduced and studied. These intervals are…
In this paper, the relevance of the Feller conditions in discrete time macro-finance term structure models is investigated. The Feller conditions are usually imposed on a continuous time multivariate square root process to ensure that the…
Component systems - ensembles of realizations built from a shared repertoire of modular parts - are ubiquitous in biological, ecological, technological, and socio-cultural domains. From genomes to texts, cities, and software, these systems…
Structuring a viable pension plan is a problem that arises in the study of financial contracts pricing and bears special importance these days. Deterministic pension models often rely on projections that are based on several assumptions…
The forecasting of credit default risk has been an active research field for several decades. Historically, logistic regression has been used as a major tool due to its compliance with regulatory requirements: transparency, explainability,…
A new definition of events of game-theoretic probability zero in continuous time is proposed and used to prove results suggesting that trading in financial markets results in the emergence of properties usually associated with randomness.…
The notion of drift refers to the phenomenon that the distribution, which is underlying the observed data, changes over time. Albeit many attempts were made to deal with drift, formal notions of drift are application-dependent and…
The transient fluctuation of the prosperity of firms in a network economy is investigated with an abstract stochastic model. The model describes the profit which firms make when they sell materials to a firm which produces a product and the…
We develop a continuous-time general equilibrium framework for economies with a heterogeneous population -- modeled as a continuum -- that repeatedly optimizes over short horizons under relative-income (Duesenberry-type) criteria. The…
We perform a dynamical system analysis of a cosmological model with linear dependence between the vacuum density and the Hubble parameter, with constant-rate creation of dark matter. We show that the de Sitter spacetime is an asymptotically…
The expectation is an example of a descriptive statistic that is monotone with respect to stochastic dominance, and additive for sums of independent random variables. We provide a complete characterization of such statistics, and explore a…
Frailty and resilience models provide a way to introduce random effects in hazard and reversed hazard rate modeling by random variables, called frailty and resilience random variables, respectively, to account for unobserved or unexplained…
The present work concerns the finite-time ruin probabilities for several bidimensional risk models with constant interest force and correlated Brownian motions.} Under the condition that the two Brownian motions $\{B_1(t), t\ge 0\}$ and…
We study failure rate monotonicity and generalized convex transform stochastic ordering properties of random variables, with a concern on applications. We are especially interested in the effect of a tail weight iteration procedure to…
Reconstructions of Lagrangian drift, for example for objects lost at sea, are often uncertain due to unresolved physical phenomena within the data. Uncertainty is usually overcome by introducing stochasticity into the drift, but this…
We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark-to-market valuation adjustment for interbank…
We consider the construction of insurance premiums that are monotonically increasing with respect to a loading parameter. By introducing weight functions that are totally positive of higher order, we derive higher monotonicity properties of…
Diverse analysis approaches have been proposed to distinguish data missing due to death from nonresponse, and to summarize trajectories of longitudinal data truncated by death. We demonstrate how these analysis approaches arise from…