Related papers: Pricing Variance Swaps on Time-Changed Markov Proc…

We develop a stochastic volatility framework for modeling multiple currencies based on CBI-time-changed L\'evy processes. The proposed framework captures the typical risk characteristics of FX markets and is coherent with the symmetries of…

The transition law of every exchangeable Feller process on the space of countable graphs is determined by a $\sigma$-finite measure on the space of $\{0,1\}\times\{0,1\}$-valued arrays. In discrete-time, this characterization amounts to a…

We present a new model for the electricity spot price dynamics, which is able to capture seasonality, low-frequency dynamics and the extreme spikes in the market. Instead of the usual purely deterministic trend we introduce a non-stationary…

This paper is a supplement to our recent paper ``Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models". We introduce the class of regime-switching L\'evy models with memory,…

We derive a general multivariate theory for realised characteristics of `model-free discretisation-invariant swaps', so-called because the standard no-arbitrage assumption of martingale forward prices is sufficient to derive fair-value swap…

In this paper we discuss backward stochastic differential equations with Markov chain noise, having continuous drivers. We obtain the existence of a solution which is possibly not unique. Moreover, we show there is a minimal solution for…

This paper presents the solution to a European option pricing problem by considering a regime-switching jump diffusion model of the underlying financial asset price dynamics. The regimes are assumed to be the results of an observed pure…

The large variability of renewable power sources is a central challenge in the transition to a sustainable energy system. Electricity markets are central for the coordination of electric power generation. These markets rely evermore on…

Quanto options allow the buyer to exchange the foreign currency payoff into the domestic currency at a fixed exchange rate. We investigate quanto options with multiple underlying assets valued in different foreign currencies each with a…

It is shown that prize changes of the US dollar - German Mark exchange rates upon different delay times can be regarded as a stochastic Marcovian process. Furthermore we show that from the empirical data the Kramers-Moyal coefficients can…

The problem of stochastic deadline scheduling is considered. A constrained Markov decision process model is introduced in which jobs arrive randomly at a service center with stochastic job sizes, rewards, and completion deadlines. The…

In this paper the valuation problem of a European call option in presence of both stochastic volatility and transaction costs is considered. In the limit of small transaction costs and fast mean reversion, an asymptotic expression for the…

In stochastic volatility models based on time-homogeneous diffusions, we provide a simple necessary and sufficient condition for the discretely sampled fair strike of a variance swap to converge to the continuously sampled fair strike. It…

We adopt the interpretability offered by a parametric, Hawkes-process-inspired conditional probability mass function for the marks and apply variational inference techniques to derive a general and scalable inferential framework for marked…

In this paper, we consider a type of time-changed Markov process, where the time-change is an inverse killed subordinator. This can be seen as an extension of Chen (Chen, Z., Time fractional equations and probabilistic representation, Chaos…

We study continuous time Markov processes on graphs. The notion of frequency is introduced, which serves well as a scaling factor between any Markov time of a continuous time Markov process and that of its jump chain. As an application, we…

Flowshop machine scheduling has been of main interest in several applications where the timing of its processes plays a fundamental role in the utilization of system resources. Addressing the optimal sequencing of the jobs when equivalent…

It is well documented that a model for the underlying asset price process that seeks to capture the behaviour of the market prices of vanilla options needs to exhibit both diffusion and jump features. In this paper we assume that the asset…

We explore the concept of a consistent exchangeable survival process - a joint distribution of survival times in which the risk set evolves as a continuous-time Markov process with homogeneous transition rates. We show a correspondence with…

This paper proposes a novel model of financial prices where: (i) prices are discrete; (ii) prices change in continuous time; (iii) a high proportion of price changes are reversed in a fraction of a second. Our model is analytically…