Related papers: Coping with Negative Short-Rates
In this paper we consider a new mathematical extension of the Black-Scholes model in which the stochastic time and stock share price evolution is described by two independent random processes. The parent process is Brownian, and the…
We consider the pricing problem related to payoffs that can have discontinuities of polynomial growth. The asset price dynamic is modeled within the Black and Scholes framework characterized by a stochastic volatility term driven by a…
This paper continues the examination of inventory control in which the inventory is modelled by a diffusion process and a long-term average cost criterion is used to make decisions. The class of such models under consideration have general…
The time development of the price of a financial asset is considered by constructing and solving Langevin equations for a homogeneously saturated model, and for comparison, for a standard model and for a logistic model. The homogeneously…
The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a joint geometric Brownian motion with time-dependent and…
We consider the problem of short- and medium-term electricity load forecasting by using past loads and daily weather forecast information. Conventionally, many researchers have directly applied regression analysis. However, interpreting the…
Fractional Brownian motion has become a standard tool to address long-range dependence in financial time series. However, a constant memory parameter is too restrictive to address different market conditions. Here we model the price…
In this paper, we study a class of one-dimensional stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H>\ff 1 2$. The drift term of the equation is locally Lipschitz and unbounded in the…
We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with different underlying rate…
Brief periods of non-slow-roll evolution during inflation can produce interesting observable consequences, as primordial black holes, or an inflationary gravitational wave spectrum enhanced at small scales. We develop a model independent,…
The short-time asymptotic behavior of option prices for a variety of models with jumps has received much attention in recent years. In the present work, a novel second-order approximation for ATM option prices under the CGMY L\'evy model is…
It has been recently shown that rough volatility models, where the volatility is driven by a fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in order to reproduce the behavior of both historical and…
We provide a surprising new application of classical approximation theory to a fundamental asset-pricing model of mathematical finance. Specifically, we calculate an analytic value for the correlation coefficient between exponential…
We introduce a financial market model featuring a risky asset whose price follows a sticky geometric Brownian motion and a riskless asset that grows with a constant interest rate $r\in \mathbb R $. We prove that this model satisfies No…
The first part of this paper is devoted to the Brown measure of the product of the free unitary Brownian motion by an arbitrary free non negative operator. Our approach follows the one recently initiated by Driver-Hall-Kemp though there are…
Brownian motion in one or more dimensions is extensively used as a stochastic process to model natural and engineering signals, as well as financial data. Most works dealing with multidimensional Brownian motion consider the different…
In the present paper we fill an essential gap in the Convertible Bonds pricing world by deriving a Binary Tree based model for valuation subject to credit risk. This model belongs to the framework known as Equity to Credit Risk. We show…
We present an arbitrage-free non-parametric yield curve prediction model which takes the full (discretized) yield curve as state variable. We believe that absence of arbitrage is an important model feature in case of highly correlated data,…
Maintaining the predictive performance of pricing models is challenging when insurance portfolios and data-generating mechanisms evolve over time. Focusing on non-life insurance, we adopt the concept-drift terminology from machine learning…
This paper develops computationally feasible methods for estimating random effects models in the context of regression modelling of multiple independent time series of discrete valued counts in which there is serial dependence. Given…