Related papers: Polynomial term structure models
Let $\mathbb{K}$ be an algebraically closed field of characteristic zero and let $\mathbb{K}_{C}[[x_{1},...,x_{e}]]$ be the ring of formal power series in several variables with exponents in a line free cone $C$. We consider irreducible…
Polynomial distribution can be applied to dynamical systems in certain situations. Macroeconomic systems characterized by economic variables such as income and wealth can be modelled similarly using polynomials. We extend our previous work…
We introduce a class of Markov processes, called $m$-polynomial, for which the calculation of (mixed) moments up to order $m$ only requires the computation of matrix exponentials. This class contains affine processes, processes with…
This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credit risk, stochastic volatility,…
We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under…
We study a stochastic model of a copolymerization process that has been extensively investigated in the physics literature. The main questions of interest include: (i) what are the criteria for transience, null recurrence, and positive…
This paper, based on the compactness-continuity and finite value conditions, establishes the sufficiency of the class of stationary policies out of the general class of history-dependent ones for a constrained continuous-time Markov…
We focus on computing certified upper bounds for the positive maximal singular value (PMSV) of a given matrix. The PMSV problem boils down to maximizing a quadratic polynomial on the intersection of the unit sphere and the nonnegative…
In this paper, we study the exponential utility indifference pricing of pure endowment policies within a stochastic-factor model for an insurer who also invests in a financial market. Our framework incorporates a hazard rate modeled as an…
We perform a detailed theoretical study of the value of a class of participating policies with four key features: $(i)$ the policyholder is guaranteed a minimum interest rate on the policy reserve; $(ii)$ the contract can be terminated by…
In this article, we consider a Markov-modulated model with jumps for short rate dynamics. We obtain closed formulas for the term structure and forward rates using the properties of the jump-telegraph process and the expectation hypothesis.…
Hybrid logic extends modal logic with special propositions called nominals, each of which is true at only one state in a model. This enables us to describe some properties of binary relations, such as irreflexivity and anti-symmetry, which…
Conditions for positive and polynomial recurrence have been proposed for a class of reliability models of two elements with transitions from working state to failure and back. As a consequence, uniqueness of stationary distribution of the…
We consider a class of stochastic programs whose uncertain data has an exponential number of possible outcomes, where scenarios are affinely parametrized by the vertices of a tractable binary polytope. Under these conditions, we propose a…
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…
Factor copula models for item response data are more interpretable and fit better than (truncated) vine copula models when dependence can be explained through latent variables, but are not robust to violations of conditional independence.…
The class of Basic Feasible Functionals BFF is the second-order counterpart of the class of first-order functions computable in polynomial time. We present several implicit characterizations of BFF based on a typed programming language of…
This paper deals with applications of coherent risk measures to pricing in incomplete markets. Namely, we study the No Good Deals pricing technique based on coherent risk. Two forms of this technique are presented: one defines a good deal…
We consider a general class of diffusion-based models and show that, even in the absence of an Equivalent Local Martingale Measure, the financial market may still be viable, in the sense that strong forms of arbitrage are excluded and…
We study the general structure of Smirnov's axioms on form factors of local operators in integrable models. We find various consistency conditions that the form factor functions have to satisfy. For the special case of the $O(3)$…