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We review models of compositional growth, which were introduced to explain the growth statistics of various quantities ranging from firm sizes to GDP. In these models, entities are decomposed into units that grow independently. Thus, the…
An extension of the idea of state tameness is presented in a dynamic framework. The proposed model for financial markets is rich enough to provide analytical tools that are mostly obtained in models that arise as the solution of SDEs with…
We present a simple continuous-time model of clearing in financial networks. Financial firms are represented as "tanks" filled with fluid (money), flowing in and out. Once "pipes" connecting "tanks" are open, the system reaches the clearing…
Financial contracts with options that allow the holder to extend the contract maturity by paying an additional fixed amount found many applications in finance. Closed-form solutions for the price of these options have appeared in the…
The business model represents an increasingly important management concept. However, progress in research related to the concept is currently inhibited from inconsistencies in terms of formalizing and therewith also empirically measuring…
The authors examine the concept of probability of default for asset-backed loans. In contrast to unsecured loans it is shown that probability of default can be defined as either a measure of the likelihood of the borrower failing to make…
In the second part of our series we suggest new definitions of credit bond duration and convexity that remain consistent across all levels of credit quality including deeply distressed bonds and introduce additional risk measures that are…
This paper quantifies the effects of equity tail risk on the US government bond market. We estimate equity tail risk with option-implied stock market volatility that stems from large negative price jumps, and we assess its value in…
Under the guidance of the dual-carbon target, the development of the carbon financial system is of great significance to compensate for the gap between green and low-carbon investment. Considering the current state of the development of…
We consider a financial market with zero-coupon bonds that are exposed to credit and liquidity risk. We revisit the famous Jarrow & Turnbull setting in order to account for these two intricately intertwined risk types. We utilise the…
Nested conditions are used, among other things, as a graphical way to express first order formulas ruling the applicability of a graph transformation rule to a given match. In this paper, we propose (for the first time) a notion of…
Balancing the management of technical debt within recommender systems requires effectively juggling the introduction of new features with the ongoing maintenance and enhancement of the current system. Within the realm of recommender…
This paper presents a convenient framework for modeling default process and pricing derivative securities involving credit risk. The framework provides an integrated view of credit valuation adjustment by linking distance-to-default,…
We present a framework to formally describe probabilistic system behavior and symbolically reason about it. In particular we aim at reasoning about possible failures and fault tolerance. We regard systems which are composed of different…
A new derivative, called deformable derivative, is introduced here which is equivalent to ordinary derivative in the sense that one implies other. The deformable derivative is defined using limit approach like that of ordinary one but with…
Structured prediction provides a general framework to deal with supervised problems where the outputs have semantically rich structure. While classical approaches consider finite, albeit potentially huge, output spaces, in this paper we…
Due to the increased complexity of software development projects more and more systems are described by models. The sheer size makes it impractical to describe these systems by a single model. Instead many models are developed that provide…
Models necessarily capture only parts of a reality. Prediction models aim at capturing a future reality. In this paper we address the question of how the future is constructed (or: imagined) in an investment context where market…
We model the term structure of the forward default intensity and the default density by using L\'evy random fields, which allow us to consider the credit derivatives with an after-default recovery payment. As applications, we study the…
We present a novel approach to the pricing of financial instruments in emission markets, for example, the EU ETS. The proposed structural model is positioned between existing complex full equilibrium models and pure reduced form models.…