Related papers: Existence of L\'evy term structure models

The structural default model of Lipton and Sepp, 2009 is generalized for a set of banks with mutual interbank liabilities whose assets are driven by correlated Levy processes with idiosyncratic and common components. The multi-dimensional…

We present a family of models for the term structure of interest rates which describe the interest rate curve as a stochastic process in a Hilbert space. We start by decomposing the deformations of the term structure into the variations of…

The goal of this paper is to specify dynamic term structure models with discrete tenor structure for credit portfolios in a top-down setting driven by time-inhomogeneous L\'evy processes. We provide a new framework, conditions for absence…

This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipovi\'c, Overbeck and Schmidt (2009) to the case where the forward rates are driven by a finite…

In this paper, we establish the existence of moments and moment estimates for L\'evy-type processes. We discuss whether the existence of moments is a time dependent distributional property, give sufficient conditions for the existence of…

In this review we give a detailed introduction to the theory of (curved) $L_\infty$-algebras and $L_\infty$-morphisms. In particular, we recall the notion of (curved) Maurer-Cartan elements, their equivalence classes and the twisting…

We investigate the existence of affine realizations for L\'{e}vy driven interest rate term structure models under the real-world probability measure, which so far has only been studied under an assumed risk-neutral probability measure. For…

The additive process generalizes the L\'evy process by relaxing its assumption of time-homogeneous increments and hence covers a larger family of stochastic processes. Recent research in option pricing shows that modeling the underlying log…

We establish the existence and uniqueness of solutions to an abstract nonlinear equation driven by a multiplicative noise of L\'evy type, which covers many hydrodynamical models including 2D Navier-Stokes equations, 2D MHD equations, the 2D…

This brief manuscript provides an introduction to L\'evy processes and their applications in finance as the random process that drives asset models. Characteristic functions and random variable generators of popular L\'evy processes are…

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…

We develop the information geometry of L\'evy processes. Deriving $\alpha$-divergences directly in terms of the L\'evy triplets of the L\'evy processes, we identify Fisher information matrix and $\alpha$-connection on the statistical…

Using the notion of existentially closed structures, we obtain embedding theorems for groups and Lie algebras. We also prove the existence of some groups and Lie algebras with prescribed properties.

Pricing of high-dimensional options is a deep problem of the Theoretical Financial Mathematics. In this article we present a new class of L\'{e}vy driven models of stock markets. In our opinion, any market model should be based on a…

Pricing interest-rate financial derivatives is a major problem in finance, in which it is crucial to accurately reproduce the time-evolution of interest rates. Several stochastic dynamics have been proposed in the literature to model either…

An \'etale structure over a topological space $X$ is a continuous family of structures (in some first-order language) indexed over $X$. We give an exposition of this fundamental concept from sheaf theory and its relevance to countable model…

We study the Hull-White model for the term structure of interest rates in the presence of volatility uncertainty. The uncertainty about the volatility is represented by a set of beliefs, which naturally leads to a sublinear expectation and…

We report on the emergence of scaling laws in the temporal evolution of the daily closing values of the S\&P 500 index prices and its modeling based on the L\'evy flights in two dimensions (2D). The efficacy of our proposed model is…

Homotopy type theory is an interpretation of Martin-L\"of's constructive type theory into abstract homotopy theory. There results a link between constructive mathematics and algebraic topology, providing topological semantics for…

In energy markets, joint historical and implied calibration is of paramount importance for practitioners, yet notoriously challenging due to the need to align historical correlations of futures contracts with implied volatility smiles from…