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We establish results for the first sensitivity analysis of the stochastic fluid models (SFMs). We derive expressions for the sensitivity analysis of the key stationary and transient (time-dependent) quantities of this class of models. We…
The gradient discretisation method (GDM) -- a generic framework encompassing many numerical methods -- is studied for a general stochastic Stefan problem with multiplicative noise. The convergence of the numerical solutions is proved by…
We are concerned with multidimensional stochastic balance laws. We identify a class of nonlinear balance laws for which uniform spatial $BV$ bounds for vanishing viscosity approximations can be achieved. Moreover, we establish temporal…
We construct a statistical indicator for the detection of short-term asset price bubbles based on the information content of bid and ask market quotes for plain vanilla put and call options. Our construction makes use of the martingale…
Stochastic volatility models based on Gaussian processes, like fractional Brownian motion, are able to reproduce important stylized facts of financial markets such as rich autocorrelation structures, persistence and roughness of sample…
Classical option pricing schemes assume that the value of a financial asset follows a geometric Brownian motion (GBM). However, a growing body of studies suggest that a simple GBM trajectory is not an adequate representation for asset…
We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the price…
Following Boukai (2021) we present the Generalized Gamma (GG) distribution as a possible RND for modeling European options prices under Heston's (1993) stochastic volatility (SV) model. This distribution is seen as especially useful in…
This paper explores the capabilities of the Constant Elasticity of Variance model driven by a mixed-fractional Brownian motion (mfCEV) [Axel A. Araneda. The fractional and mixed-fractional CEV model. Journal of Computational and Applied…
We propose an alternative approach towards cost mitigation in volatility-managed portfolios based on smoothing the predictive density of an otherwise standard stochastic volatility model. Specifically, we develop a novel variational Bayes…
We build and study a data-driven procedure for the estimation of the stationary density f of an additive fractional SDE. To this end, we also prove some new concentrations bounds for discrete observations of such dynamics in stationary…
In variational phase-field modeling of brittle fracture, the functional to be minimized is not convex, so that the necessary stationarity conditions of the functional may admit multiple solutions. The solution obtained in an actual…
Estimation and prediction in high dimensional multivariate factor stochastic volatility models is an important and active research area because such models allow a parsimonious representation of multivariate stochastic volatility. Bayesian…
In this work, we shall consider the existence and uniqueness of stationary solutions to stochastic partial functional differential equations with additive noise in which a neutral type of delay is explicitly presented. We are especially…
We consider option pricing using a discrete-time Markov switching stochastic volatility with co-jump model, which can model volatility clustering and varying mean-reversion speeds of volatility. For pricing European options, we develop a…
The stochastic block model (SBM) is a probabilistic model de- signed to describe heterogeneous directed and undirected graphs. In this paper, we address the asymptotic inference on SBM by use of maximum- likelihood and variational…
The aim of this paper is to introduce a new formalism for the deterministic analysis associated with backward stochastic differential equations driven by general c{\`a}dl{\`a}g martingales. When the martingale is a standard Brownian motion,…
This paper is concerned with solutions to a one dimensional linear diffusion equation and their relation to some problems in stochastic control theory. A stochastic variational formula is obtained for the logarithm of the solution to the…
This paper develops a European option pricing formula for fractional market models. Although there exist option pricing results for a fractional Black-Scholes model, they are established without accounting for stochastic volatility. In this…
This study develops and analyzes a stochastic differential equation (SDE) model for the dynamics of hepatitis B virus (HBV) infection. While deterministic frameworks have yielded important insights into viral behavior, they cannot…