Related papers: A generalized intensity based framework for single…
We focus on the problem estimating a monotone trend function under additive and dependent noise. New point-wise confidence interval estimators under both short- and long-range dependent errors are introduced and studied. These intervals are…
We develop an averaging approach to robust risk measurement under payoff uncertainty. Instead of taking a worst-case value over an uncertainty neighborhood, we weight nearby payoffs more heavily under a chosen metric and average the…
Continuous time Bayesian networks are investigated with a special focus on their ability to express causality. A framework is presented for doing inference in these networks. The central contributions are a representation of the intensity…
We present a new model for credit index derivatives, in the top-down approach. This model has a dynamic loss intensity process with volatility and jumps and can include counterparty risk. It handles CDS, CDO tranches, Nth-to-default and…
This thesis is devoted to the study of affine processes and their applications in financial mathematics. In the first part we consider the theory of time-inhomogeneous affine processes on general state spaces. We present a concise setup for…
We introduce a novel machine learning model for credit risk by combining tree-boosting with a latent spatio-temporal Gaussian process model accounting for frailty correlation. This allows for modeling non-linearities and interactions among…
The lifetime behaviour of loans is notoriously difficult to model, which can compromise a bank's financial reserves against future losses, if modelled poorly. Therefore, we present a data-driven comparative study amongst three techniques in…
We extend the restrictiveness measure of Fudenberg, Gao & Liang (2026) to functional and structural econometric settings using Gaussian process priors. We find that models evaluated over continuum domains appear more restrictive than when…
Score matching is an estimation procedure that has been developed for statistical models whose probability density function is known up to proportionality but whose normalizing constant is intractable, so that maximum likelihood is…
Mechanical relaxation in moir\'e materials is often modeled by a continuum model where linear elasticity is coupled to a stacking penalty known as the Generalized Stacking Fault Energy (GSFE). We review and compute minimizers of a…
In this paper we introduce an efficient fat-tail measurement framework that is based on the conditional second moments. We construct a goodness-of-fit statistic that has a direct interpretation and can be used to assess the impact of…
Discount is the difference between the face value of a bond and its present value. I propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath--Jarrow--Morton framework for forward rates. I…
The Papangelou intensities of determinantal (or fermion) point processes are investigated. These exhibit a monotonicity property expressing the repulsive nature of the interaction, and satisfy a bound implying stochastic domination by a…
In this paper we propose a simple and efficient method to compute the ordered default time distributions in both the homogeneous case and the two-group heterogeneous case under the interacting intensity default contagion model. We give the…
In this paper we consider the axiomatic characterization of information and certainty measures in a unified way. We present the general axiomatic system which captures the common properties of a large number of the measures previously…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…
We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark-to-market valuation adjustment for interbank…
This paper presents a discrete--time equity derivatives pricing model with default risk in a no--arbitrage framework. Using the equity--credit reduced form approach where default intensity mainly depends on the firm's equity value, we…
We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hilbert spaces for random variables which possess…
We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdependent liabilities to account for the…