Related papers: Cointegrating Jumps: an Application to Energy Faci…
We explore martingale and convex duality techniques to study optimal investment strategies that maximize expected risk-averse utility from consumption and terminal wealth. We consider a market model with jumps driven by (multivariate)…
Adaptive importance sampling techniques are widely known for the Gaussian setting of Brownian driven diffusions. In this work, we want to extend them to jump processes. Our approach relies on a change of the jump intensity combined with the…
This thesis investigates the interactions of different degrees of freedom of one joint system within the theory of stochastic thermodynamics. First, a comprehensive introduction to the subjects of stochastic processes, information theory…
In this paper we propose a semi-analytic approach to pricing American options for time-dependent jump-diffusions models with exponential jumps The idea of the method is to further generalize our approach developed for pricing barrier,…
We study the obtainment of closed-form formulas for the distribution of the jumps of a doubly-stochastic Poisson process. The problem is approached in two ways. On the one hand, we translate the problem to the computation of multiple…
We construct a sequence of functions that uniformly converge (on compact sets) to the price of Asian option, which is written on a stock whose dynamics follows a jump diffusion, exponentially fast. Each of the element in this sequence…
Chemical reactions involve the movement of charges, and this work presents a mathematical model for describing chemical reactions in electrolytes. The model is developed using an energy variational method that aligns with classical…
In this paper, a pricing formula for volatility swaps is delivered when the underlying asset follows the stochastic volatility model with jumps and stochastic intensity. By using Feynman-Kac theorem, a partial integral differential equation…
The transport and distribution of charged particles are crucial in the study of many physical and biological problems. In this paper, we employ an Energy Variational Approach to derive the coupled Poisson-Nernst-Planck-Navier-Stokes system.…
We study an efficient strategy based on finite elements to value spread options on commodities whose underlying assets follow a dynamic described by a certain class of two-dimensional Levy models by solving their associated partial…
We derive an effective cluster model to address the transport properties of mutually interacting small polarons. We propose a decoupling scheme where the hopping dynamics of any given particle is determined by separating out explicitly the…
Suppose that a compound Poisson process is observed discretely in time and assume that its jump distribution is supported on the set of natural numbers. In this paper we propose a non-parametric Bayesian approach to estimate the intensity…
We study optimal investment strategies that maximize expected utility from consumption and terminal wealth in a pure-jump asset price model with Markov-modulated (regime switching) jump-size distributions. We give sufficient conditions for…
It is known that solutions of Richardson equations can be represented as stationary points of the "energy" of classical free charges on the plane. We suggest to consider "probabilities" of the system of charges to occupy certain states in…
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency data and is robust to market microstructure frictions. For the test, local…
This paper introduces an information-based model for the pricing of storable commodities such as crude oil and natural gas. The model uses the concept of market information about future supply and demand as a basis for valuation. Physical…
Stochastic modelling of fatigue (and other material's deterioration), as well as of cumulative damage in risk theory, are often based on compound sums of independent random variables, where the number of addends is represented by an…
Classical entropy regularization is poorly suited to continuous-time martingale transport, since relative entropy between diffusion laws typically forces their volatility characteristics to coincide. We introduce a specific-entropy…
In this short paper, in order to price occupation-time options, such as (double-barrier) step options and quantile options, we derive various joint distributions of a mixed-exponential jump-diffusion process and its occupation times of…
Complex physical dynamics can often be modeled as a Markov jump process between mesoscopic configurations. When jumps between mesoscopic states are mediated by thermodynamic reservoirs, the time-irreversibility of the jump process is a…