Related papers: L\'evy-Vasicek Models and the Long-Bond Return Pro…
If pricing kernels are assumed non-negative then the inverse problem of finding the pricing kernel is well-posed. The constrained least squares method provides a consistent estimate of the pricing kernel. When the data are limited, a new…
In this paper, we assume an insure is allowed to purchase proportional reinsurance and can invest his or her wealth into the financial market where a savings account, stocks and bonds are available. Different from classical optimal…
In this research paper, I have applied various econometric time series and two machine learning models to forecast the daily data on the yield spread. First, I decomposed the yield curve into its principal components, then simulated various…
The purpose of this article is to introduce a new L\'evy process, termed Variance Gamma++ process, to model the dynamic of assets in illiquid markets. Such a process has the mathematical tractability of the Variance Gamma process and is…
Pricing of high-dimensional options is one of the most important problems in Mathematical Finance. The objective of this manuscript is to present an original self-contained treatment of the multidimensional pricing. During the past decades…
The notion of a credit spread curve is fundamental in fixed income investing, but in practice it is not `given' and needs to be constructed from bond prices either for a particular issuer, or for a sector rating-by-rating. Rather than…
This paper proposes a Monte Carlo technique for pricing the forward yield to maturity, when the volatility of the zero-coupon bond is known. We make the assumption of deterministic default intensity (Hazard Rate Function). We make no…
A L\'evy processes resurrected in the positive half-line is a Markov process obtained by removing successively all jumps that make it negative. A natural question, given this construction, is whether the resulting process is absorbed at 0…
The Bass Local Volatility Model (Bass-LV), as studied in [Conze and Henry-Labordere, 2021], stands out for its ability to eliminate the need for interpolation between maturities. This offers a significant advantage over traditional LV…
The pricing of derivatives tied to baskets of assets demands a sophisticated framework that aligns with the available market information to capture the intricate non-linear dependency structure among the assets. We describe the dynamics of…
This study is motivated by empirical observations of periodic fluctuations in interest rates, notably long-term economic cycles spanning decades, which the conventional Hull-White short-rate model fails to adequately capture. To address…
We derive a recursive formula for arithmetic Asian option prices with finite observation times in semimartingale models. The method is based on the relationship between the risk-neutral expectation of the quadratic variation of the return…
Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential L\'evy models based on prices of European options. To this end, we show joint asymptotic normality in the spectral calibration…
Catastrophe (CAT) bond markets are incomplete and hence carry uncertainty in instrument pricing. As such various pricing approaches have been proposed, but none treat the uncertainty in catastrophe occurrences and interest rates in a…
In this paper, we describe a general method for constructing the posterior distribution of an option price. Our framework takes as inputs the prior distributions of the parameters of the stochastic process followed by the underlying, as…
We consider high-frequency sampled continuous-time autoregressive moving average (CARMA) models driven by finite-variance zero-mean L\'evy processes. An L^2-consistent estimator for the increments of the driving L\'evy process without order…
We provide asymptotic results and develop high frequency statistical procedures for time-changed L\'evy processes sampled at random instants. The sampling times are given by first hitting times of symmetric barriers whose distance with…
The generalized Langevin equation is a model for the motion of coarse-grained particles where dissipative forces are represented by a memory term. The numerical realization of such a model requires the implementation of a stochastic…
The aim of this paper is to present a simple stochastic model that accounts for the effects of a long-memory in volatility on option pricing. The starting point is the stochastic Black-Scholes equation involving volatility with long-range…
The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule that links discount rate and marginal utility of aggregate…