Related papers: Zero-Inflated Autoregressive Conditional Duration …
Discretely sampled variance and volatility swaps trade actively in OTC markets. To price these swaps, the continuously sampled approximation is often used to simplify the computations. The purpose of this paper is to study the conditions…
We establish a super-replication duality in a continuous-time financial model where an investor's trades adversely affect bid- and ask-prices for a risky asset and where market resilience drives the resulting spread back towards zero at an…
The denoising diffusion model has recently emerged as a powerful generative technique, capable of transforming noise into meaningful data. While theoretical convergence guarantees for diffusion models are well established when the target…
In the present paper we construct stock price processes with the same marginal log-normal law as that of a geometric Brownian motion and also with the same transition density (and returns' distributions) between any two instants in a given…
The paper studies derivative asset analysis in structural credit risk models where the asset value of the firm is not fully observable. It is shown that in order to compute the price dynamics of traded securities one needs to solve a…
A frequent challenge encountered with compositional ecological data is how to interpret and model data with a high proportion of zeros and $N$'s. Such data frequently occur in ecological applications where counts of species are collected…
Zero-determinant strategies are a class of strategies in repeated games which unilaterally control payoffs. Zero-determinant strategies have attracted much attention in studies of social dilemma, particularly in the context of evolution of…
We consider the pricing of derivatives in a setting with trading restrictions, but without any probabilistic assumptions on the underlying model, in discrete and continuous time. In particular, we assume that European put or call options…
We design three continuous--time models in finite horizon of a commodity price, whose dynamics can be affected by the actions of a representative risk--neutral producer and a representative risk--neutral trader. Depending on the model, the…
Positive feedback trading, which buys when prices rise and sells when prices fall, has long been criticized for being destabilizing as it moves prices away from the fundamentals. Motivated by the relationship between positive feedback…
Flow-based generative modeling in continuous spaces exploit Tweedie's formula to express the denoiser (learned in training) as a score function (used in sampling). In contrast, this relation has been largely missing in the discrete setting…
This paper presents a method for forecasting limit order book durations using a self-exciting flexible residual point process. High-frequency events in modern exchanges exhibit heavy-tailed interarrival times, posing a significant challenge…
The paper deals with a zero-sum differential game in which the dynamical system is described by a fractional differential equation with the Caputo derivative of an order $\alpha \in (0, 1).$ The goal of the first (second) player is to…
Zero inflation is a common nuisance while monitoring disease progression over time. This article proposes a new observation driven model for zero inflated and over-dispersed count time series. The counts given the past history of the…
The disaggregated time-series for the Consumer Price Index (CPI) often exhibits exact zero price changes, stemming from structural features of the data collection process. However, the currently prominent stochastic volatility model of…
A dynamical model of capital exchange is introduced in which a specified amount of capital is exchanged between two individuals when they meet. The resulting time dependent wealth distributions are determined for a variety of exchange…
We solve the problem of super-hedging European or Asian options for discrete-time financial market models where executable prices are uncertain. The risky asset prices are not described by single-valued processes but measurable selections…
We propose score dynamics (SD), a general framework for learning accelerated evolution operators with large timesteps from molecular-dynamics simulations. SD is centered around scores, or derivatives of the transition log-probability with…
A common type of zero-inflated data has certain true values incorrectly replaced by zeros due to data recording conventions (rare outcomes assumed to be absent) or details of data recording equipment (e.g. artificial zeros in gene…
This paper explores the continuous-time limit of a class of Quasi Score-Driven (QSD) models that characterize volatility. As the sampling frequency increases and the time interval tends to zero, the model weakly converges to a…