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We consider the pricing of European-style structured credit payoff in a static framework, where the underlying default times are independent given a common factor. A practical application would consist of the pricing of nth-to-default…

We develop a form factor approach to the study of dynamical correlation functions of quantum integrable models in the critical regime. As an example, we consider the quantum non-linear Schr\"odinger model. We derive long-distance/long-time…

The main result of this paper that a martingale evolution can be chosen for Libor such that all the Libor interest rates have a common market measure; the drift is fixed such that each Libor has the martingale property. Libor is described…

We propose a novel approach to estimate the Cox model with temporal covariates. Our new approach treats the temporal covariates as arising from a longitudinal process which is modeled jointly with the event time. Different from the…

We classify the possible behaviors of a class of one-dimensional stochastic recurrent growth models. In our main result, we obtain nearly optimal bounds for the tail of hitting times of some compact sets. If the process is an aperiodic…

We present an exact field theoretical representation of an ionic solution made of charged hard spheres. The action of the field theory is obtained by performing a Hubbard-Stratonovich transform of the configurational Boltzmann factor. It is…

In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset process. The possible non-linear structure and the fact that the interest…

We study the mass at the origin in the uncorrelated SABR stochastic volatility model, and derive several tractable expressions, in particular when time becomes small or large. As an application--in fact the original motivation for this…

In a Cox model, the partial likelihood, as the product of a series of conditional probabilities, is used to estimate the regression coefficients. In practice, those conditional probabilities are approximated by risk score ratios based on a…

It is customary to estimate error-in-variables models using higher-order moments of observables. This moments-based estimator is consistent only when the coefficient of the latent regressor is assumed to be non-zero. We develop a new…

Using the reflection formula of the Gamma function, we derive a new formula for the Taylor coefficients of the reciprocal Gamma function. The new formula provides effective asymptotic values for the coefficients even for very small values…

A general formula in closed form to obtain exact similarity solutions of the Fokker-Planck equation with both time-dependent drift and diffusion coefficients was recently presented by Lin and Ho [ Ann. Phys. \textbf{327}, 386 (2012); J.…

We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with pair-copula constructions, and nest…

We develop at-the-money call-price and implied volatility asymptotic expansions in time to maturity for a class of asset-price models whose log returns follow a L\'evy process. Under mild assumptions placing the driving L\'evy process in…

We show that the pre-factors of all terms of the one-dimensional Hubbard model correlation-function asymptotic expansions have an universal form, as the corresponding critical exponents. In addition to calculating such pre-factors, our…

The problem of existence of arbitrage free and monotone CDO term structure models is studied. Conditions for positivity and monotonicity of the corresponding Heath-Jarrow-Morton-Musiela equation for the $x$-forward rates with the use of the…

We provide a nonparametric method for the computation of instantaneous multivariate volatility for continuous semi-martingales, which is based on Fourier analysis. The co-volatility is reconstructed as a stochastic function of time by…

We consider a continuous-time financial market with no arbitrage and no transactions costs. In this setting, we introduce two types of perpetual contracts, one in which the payoff to the long side is a fixed function of the underlyers and…

A small-time Edgeworth expansion of the density of an asset price is given under a general stochastic volatility model, from which asymptotic expansions of put option prices and at-the-money implied volatilities follow. A limit theorem for…

The aim of this paper is to present a dual-term structure model of interest rate derivatives in order to solve the two hardest problems in financial modeling: the exact volatility calibration of the entire swaption matrix, and the…