Related papers: Financial Models with Defaultable Num\'eraires
We present a mathematical model of a market with $m$ shares traded across $n$ investor groups, each one with similar motivations and trading strategies. The market of each asset consists of a fixed amount of cash and shares (no additions…
The analysis of computer models can be aided by the construction of surrogate models, or emulators, that statistically model the numerical computer model. Increasingly, computer models are becoming stochastic, yielding different outputs…
We consider a model of debt management, where a sovereign state trade some bonds to service the debt with a pool of risk-neutral competitive foreign investors. At each time, the government decides which fraction of the gross domestic…
Recent advances in computing power and the potential to make more realistic assumptions due to increased flexibility have led to the increased prevalence of simulation models in economics. While models of this class, and particularly…
Individual risk models need to capture possible correlations as failing to do so typically results in an underestimation of extreme quantiles of the aggregate loss. Such dependence modelling is particularly important for managing credit…
In this paper we investigate Gaussian risk models which include financial elements such as inflation and interest rates. For some general models for inflation and interest rates, we obtain an asymptotic expansion of the finite-time ruin…
Regular vine distributions which constitute a flexible class of multivariate dependence models are discussed. Since multivariate copulae constructed through pair-copula decompositions were introduced to the statistical community, interest…
In this paper we introduce a sublinear conditional operator with respect to a family of possibly nondominated probability measures in presence of multiple ordered default times. In this way we generalize the results of [5], where a…
Mathematical models are used extensively for diverse tasks including analysis, optimization, and decision making. Frequently, those models are principled but imperfect representations of reality. This is either due to incomplete physical…
We consider initial value problems of nonlinear dynamical systems, which include physical parameters. A quantity of interest depending on the solution is observed. A discretisation yields the trajectories of the quantity of interest in many…
The paper tests the validity of the critique of the fiscal theory of the price level. A stochastic general equilibrium model with continuous time is constructed. An active fiscal policy and a passive monetary policy have been set. Monetary…
Stochastic differential equation (SDE) models are the foundation for pricing and hedging financial derivatives. The drift and volatility functions in SDE models are typically chosen to be algebraic functions with a small number (less than…
We study a class of heterogeneous agent-based models which are based on a basic set of principles, and the most fundamental operations of an economic system: trade and product transformations. A basic guiding principle is scale invariance,…
Dependability is an umbrella concept that subsumes many key properties about a system, including reliability, maintainability, safety, availability, confidentiality, and integrity. Various dependability modeling techniques have been…
Closed form formulas for swaption prices in HJM model are derived. These formulas are used for nonparametric fit of deterministic forward volatility. It is demonstrated that this formula and non-parametric fit works very well and can be…
We introduce a novel and highly tractable supervised learning approach based on neural networks that can be applied for the computation of model-free price bounds of, potentially high-dimensional, financial derivatives and for the…
Model uncertainty has been one prominent issue both in the theory of risk measures and in practice such as financial risk management and regulation. Motivated by this observation, in this paper, we take a new perspective to describe the…
Historical Simulation (HS) and its extensions form a popular class of methods for estimating Value-at-Risk for portfolios of financial assets based on historical data. In this note, we seek to unify several ideas and models from throughout…
This paper aims to review the methodology behind the generalized linear models which are used in analyzing the actuarial situations instead of the ordinary multiple linear regression. We introduce how to assess the adequacy of the model…
Traditional macroeconomic models, based on static algebraic systems, fail to capture the dynamics of a bimonetary economy like Argentina's. This paper proposes a framework based on category theory to develop a more flexible and structured…