Related papers: Alpha-CIR Model with Branching Processes in Sovere…
In this paper, we consider a one-dimensional jump-type Cox-Ingersoll-Ross process driven by a Brownian motion and a subordinator, whose growth rate is an unknown parameter. Considering the process observed continuously or discretely at high…
We consider a financial market in which two securities are traded: a stock and an index. Their prices are assumed to satisfy the Black-Scholes model. Besides assuming that the index is a tradable security, we also assume that it is…
Continuous-state branching processes (CSBPs) with immigration (CBIs), stopped on hitting zero, are generalized by allowing the process governing immigration to be any L\'evy process without negative jumps. Unlike the CBIs, these newly…
Affine processes play an important role in mathematical finance and other applied areas due to their tractable structure. In the present article, we derive probabilistic representations and integration by parts (IBP) formulas for…
This work is denoted to studying the tail behavior of Cox-Ingersoll-Ross (CIR) processes with regime-switching. One essential difference shown in this work between CIR process with regime-switching and without regime-switching is that the…
In the LIBOR market model, forward interest rates are log-normal under their respective forward measures. This note shows that their distributions under the other forward measures of the tenor structure have approximately log-normal tails.
We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump--diffusion process for the risk factors, i.e. for the company assets. We also include correlations…
Within the likes of any highly contagious and unpredictable disease, lies a predictable and attainable growth rate that researchers can find in order to make logistical conclusions about that particular disease and its affected regions'…
Affine jump-diffusions constitute a large class of continuous-time stochastic models that are particularly popular in finance and economics due to their analytical tractability. Methods for parameter estimation for such processes require…
In this paper, we present own point of view how the unexpected fluctuations of the long-term real interest rate can be explained. We describe a macroeconomic environment by the modification of the fundamental macroeconomic equilibrium model…
Recent studies, in the context of consistency conditions for rapid-turn and third order slow-roll inflation in two-field models, raised the question whether this regime can be sustained for more than a few e-folds of expansion. We answer…
We develop a model to price inflation and interest rates derivatives using continuous-time dynamics that have some links with macroeconomic monetary DSGE models equipped with a Taylor rule: in particular, the reaction function of the…
We introduce a class of short-rate models that exhibit a ``higher for longer'' phenomenon. Specifically, the short-rate is modeled as a general time-homogeneous one-factor Markov diffusion on a finite interval. The lower endpoint is assumed…
We develop a one-dimensional notion of affine processes under parameter uncertainty, which we call non-linear affine processes. This is done as follows: given a set of parameters for the process, we construct a corresponding non-linear…
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.…
We construct a Hunt process that can be described as an isotropic $\alpha$-stable L\'evy process reflected from the complement of a bounded open Lipschitz set. In fact, we introduce a new analytic method for concatenating Markov processes.…
We study the distributional properties of jumps of multi-type continuous state and continuous time branching processes with immigration (multi-type CBI processes). We derive an expression for the distribution function of the first jump time…
Existence and uniqueness of solutions to the multi-dimensional mean-field Libor market model (introduced by [7]) is shown. This is used as the basis for a numerical asset-liability management (ALM) model capable of calculating future…
A version of ``preferential attachment'' random graphs, corresponding to linear ``weights'' with random ``edge additions,'' which generalizes some previously considered models, is studied. This graph model is embedded in a continuous-time…
We present three data driven model-types for COVID-19 with a minimal number of parameters to provide insights into the spread of the disease that may be used for developing policy responses. The first is exponential growth, widely studied…