Related papers: Forward transition rates
Quantum theory predicts probabilities as well as relative phases between different alternatives of the system. A unified description of both probabilities and phases comes through a generalisation of the notion of a density matrix for…
In comparative studies of progressive diseases, such as randomized controlled trials (RCTs), the mean Change From Baseline (CFB) of a continuous outcome at a pre-specified follow-up time across subjects in the target population is a…
In this paper a simple model for the evolution of the forward density of the future value of an asset is proposed. The model allows for a straightforward initial calibration to option prices and has dynamics that are consistent with…
This paper provides intuition on the relationship of accrual and mark-to-market valuation for cash and forward interest rate trades. Discounted cashflow valuation is compared to spread-based valuation for forward trades, which explains the…
We consider estimation procedures which are recursive in the sense that each successive estimator is obtained from the previous one by a simple adjustment. We study rate of convergence of recursive estimation procedures for the general…
Mortality displacement is the concept that deaths are moved forward in time (e.g., a few days, several months, and years) by exposure from when they would occur without the exposure, which is common in environmental time-series studies.…
There is currently a renewed interest in the Bayesian predictive approach to statistics. This paper offers a review on foundational concepts and focuses on predictive modeling, which by directly reasoning on prediction, bypasses inferential…
We develop and apply an approach for analyzing multi-curve data where each curve is driven by a latent state process. The state at any particular point determines a smooth function, forcing the individual curve to switch from one function…
Risk control has become one of the major concern of financial institutions. The need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of financial markets is clearly expressed, in particular for…
Markov switching models are often used to analyze financial returns because of their ability to capture frequently observed stylized facts. In this paper we consider a multivariate Student-t version of the model as a viable alternative to…
We present a common framework to study decay and exchanges rates in a wide class of dynamical systems. Several applications, ranging form the metric theory of continuons fractions and the Shannon capacity of contrained systems to the decay…
Many applications in medical statistics as well as in other fields can be described by transitions between multiple states (e.g. from health to disease) experienced by individuals over time. In this context, multi-state models are a popular…
A comparison theorem for state-dependent regime-switching diffusion processes is established, which enables us to control pathwisely the evolution of the state-dependent switching component simply by Markov chains. Moreover, a sharp…
Based on forward curves modelled as Hilbert-space valued processes, we analyse the pricing of various options relevant in energy markets. In particular, we connect empirical evidence about energy forward prices known from the literature to…
A quantum probability model is introduced and used to explain human probability judgment errors including the conjunction, disjunction, inverse, and conditional fallacies, as well as unpacking effects and partitioning effects. Quantum…
We consider an intersection of past and future property of multivariate stationary processes which is the key to deriving various representation theorems for their linear predictor coefficient matrices. We extend useful spectral…
The two main approaches in credit risk are the structural approach pioneered in Merton (1974) and the reduced-form framework proposed in Jarrow & Turnbull (1995) and in Artzner & Delbaen (1995). The goal of this article is to provide a…
The dynamics of an infinite continuum system of randomly jumping and coalescing point particles is studied. The states of the system are probability measures on the corresponding configuration space $\Gamma$ the evolution of which is…
In an observed generalized semi-Markov regime, estimation of transition rate of regime switching leads towards calculation of locally risk minimizing option price. Despite the uniform convergence of estimated step function of transition…
By analogy with the theory of Backward Stochastic Differential Equations, we define Backward Stochastic Difference Equations on spaces related to discrete time, finite state processes. This paper considers these processes as constructions…