Related papers: Endogenous Current Coupons
In this paper, local linear estimators are adapted for the unknown infinitesimal coefficients associated with continuous-time asset return model with jumps, which can correct the bias automatically due to their simple bias representation.…
Using agent-based modelling, empirical evidence and physical ideas, such as the energy function and the fact that the phase space must have twice the dimension of the configuration space, we argue that the stochastic differential equations…
Online advertising platforms use automated auctions to connect advertisers with potential customers, requiring effective bidding strategies to maximize profits. Accurate ad impact estimation requires considering three key factors: delayed…
For continuous-time Markov jump processes on irreducible networks with time-independent rate constants, we employ a transition-based formalism to express the long-time precision of a single integrated current over an observable channel in…
Firms that price perishable resources -- airline seats, hotel rooms, seasonal inventory -- now routinely use demand predictions, but these predictions vary widely in quality. Under hard capacity constraints, acting on an inaccurate…
This paper investigates biological models that represent the transition equation from a system in the past to a system in the future. It is shown that finite-time Lyapunov exponents calculated along a locally pullback attractive solution…
Energy price forecasting is a relevant yet hard task in the field of multi-step time series forecasting. In this paper we compare a well-known and established method, ARMA with exogenous variables with a relatively new technique Gradient…
For probabilistic programs, it is usually not possible to automatically derive exact information about their properties, such as the distribution of states at a given program point. Instead, one can attempt to derive approximations, such as…
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…
In this paper we study dynamic pricing mechanism of contingent claims. A typical model of such pricing mechanism is the so-called g-expectation $E^g_{s,t}[X]$ defined by the solution of the backward stochastic differential equation with…
We consider budget feasible mechanisms for procurement auctions with additive valuation functions. For the divisible case, where agents can be allocated fractionally, there exists an optimal mechanism with approximation guarantee $e/(e-1)$…
This paper studies the consensus problem of multi-agent systems with asymmetric and reducible topologies. Centralized event-triggered rules are provided so as to reduce the frequency of system's updating. The diffusion coupling feedbacks of…
We study the revenue-maximizing mechanism when a buyer's value evolves endogenously because of learning-by-consuming. A seller sells one unit of a divisible good, while the buyer relies on his private, rough valuation to choose his…
We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the claim size distribution are influenced by an exogenous stochastic factor. We assume that the insurer's surplus is governed…
We consider Bayesian analysis of a class of multiple changepoint models. While there are a variety of efficient ways to analyse these models if the parameters associated with each segment are independent, there are few general approaches…
We introduce a model of dynamic matching with transferable utility, extending the static model of Shapley and Shubik (1971). Forward-looking agents have individual states that evolve with current matches. Each period, a matching market with…
We consider the problem of hedging a European interest rate contingent claim with a portfolio of zero-coupon bonds and show that an HJM type Markovian model driven by an infinite number of sources of randomness does not have some of the…
In networks, there are often more than one source of capacity. The capacities can be permanently or temporarily owned by the decision maker. Depending on the nature of sources, we identify the permanent capacity, spot market capacity and…
This paper proposes a simple technical approach for the analytical derivation of Point-in-Time PD (probability of default) forecasts, with minimal data requirements. The inputs required are the current and future Through-the-Cycle PDs of…
We consider univariate distributions with finite moments of all positive orders. The moment problem is to determine whether or not a given distribution is uniquely determined by the sequence of its moments. There is a huge literature on…