Related papers: Dynamic Term Structure Modelling with Default and …
We introduce a numerically tractable formulation of Bayesian joint models for longitudinal and survival data. The longitudinal process is modelled using generalised linear mixed models, while the survival process is modelled using a…
We develop theory and applications of forward characteristic processes in discrete time following a seminal paper of Jan Kallsen and Paul Kr\"uhner. Particular emphasis is placed on the dynamics of volatility surfaces which can be easily…
The paper tests the validity of the critique of the fiscal theory of the price level. A stochastic general equilibrium model with continuous time is constructed. An active fiscal policy and a passive monetary policy have been set. Monetary…
There is mounting empirical evidence that many communities of living organisms display key features which closely resemble those of physical systems at criticality. We here introduce a minimal model framework for the dynamics of a community…
To make medium- and long-term insurance products attractive, it is essential to enable participation in stock market returns. However, to eliminate downside risk, guarantees must be included, which naturally leads to the challenge of…
We establish well-posedness for a class of systems of SDEs with non-Lipschitz coefficients in the diffusion and jump terms and with two sources of interdependence: a monotone function of all the components in the drift of each SDE and the…
We propose a parsimonious class of arbitrage-free, yields-only dynamic term structure models (DTSMs) with unspanned latent risks. To enable sequential estimation and forecasting, we develop a Sequential Monte Carlo framework that combines…
We consider a risk model with a counting process whose intensity is a Markovian shot-noise process, to resolve one of the disadvantages of the Cram\'er-Lundberg model, namely the constant jump intensity of the Poisson process. Due to this…
The coherent systems are basic concepts in reliability theory and survival analysis. They contain as particular cases the popular series, parallel and $k$-ou-of-$n$ systems (order statistics). Many results have been obtained for them by…
It is widely accepted that there is strong persistence in the volatility of financial time series. The origin of the observed persistence, or long-range memory, is still an open problem as the observed phenomenon could be a spurious effect.…
Morphological development into evolutionary patterns under structural instability is ubiquitous in living systems and often of vital importance for engineering structures. Here we propose a data-driven approach to understand and predict…
We consider asset price models whose dynamics are described by linear functions of the (time extended) signature of a primary underlying process, which can range from a (market-inferred) Brownian motion to a general multidimensional…
Although proportional hazard rate model is a very popular model to analyze failure time data, sometimes it becomes important to study the additive hazard rate model. Again, sometimes the concept of the hazard rate function is abstract, in…
We present a family of models for the term structure of interest rates which describe the interest rate curve as a stochastic process in a Hilbert space. We start by decomposing the deformations of the term structure into the variations of…
This essay advocates the view that any problem that has a meaningful empirical content, can be formulated in constructive, more definitely, finite terms. We consider combinatorial models of dynamical systems and approaches to statistical…
How do decisions change with the economic environment and with time? This paper studies general nonstationary stopping problems and provides the methodological tools to answer these questions. First, we identify conditions that ensure a…
High-dimensional dynamical systems projected onto a reduced-order model cease to be deterministic and are best described by probability distributions in state space. Their equations of motion map onto an evolution operator with a…
In this paper we consider a broad class of infinite horizon discrete-time optimal control models that involve a nonnegative cost function and an affine mapping in their dynamic programming equation. They include as special cases classical…
Randomly-assembled dynamical systems are theoretically predicted to be unstable upon crossing a critical threshold of complexity, as first shown by May. Yet, empirical complex systems exhibit remarkable stability, indicating the presence of…
We develop a methodology that utilizes deep learning to simultaneously solve and estimate canonical continuous-time general equilibrium models in financial economics. We illustrate our method in two examples: (1) industrial dynamics of…