Related papers: Existence of L\'evy term structure models
We make a study of ll-extensions of model category structures. We prove an existence result of ll-extensions, present some specific and some rather formal results about them and give an application of the existence result to the homotopy…
We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under…
We consider a stochastic model of incompressible non-Newtonian fluids of second grade on a bounded domain of $\mathbb{R}^2$ driven by L\'evy noise. Applying the variational approach, global existence and uniqueness of strong probabilistic…
In this letter, I consider the issue of pricing risky debt by following Merton's approach. I generalize Merton's results to the case where the interest rate is modeled by the CIR term structure. Exact closed forms are provided for the risky…
We apply some tools developed in categorical logic to give an abstract description of constructions used to formalize constructive mathematics in foundations based on intensional type theory. The key concept we employ is that of a Lawvere…
In this article we study a class of stochastic functional differential equations driven by L\'{e}vy processes (in particular, $\alpha$-stable processes), and obtain the existence and uniqueness of Markov solutions in small time intervals.…
One-dimensional stochastic differential equations with additive L\'evy noise are considered. Conditions for existence and uniqueness of a strong solution are obtained. In particular, if the noise is a L\'evy symmetric stable process with…
In this paper, we consider the Heston-CIR model with L\'{e}vy process for pricing in the foreign exchange (FX) market by providing a new formula that better fits the distribution of prices. To do that, first, we study the existence and…
The intensity of a default time is obtained by assuming that the default indicator process has an absolutely continuous compensator. Here we drop the assumption of absolute continuity with respect to the Lebesgue measure and only assume…
We examine the shapes attainable by the forward- and yield-curve in the widely-used Svensson family, including the Nelson-Siegel and Bliss subfamilies. We provide a complete classification of all attainable shapes and partition the…
This article is concerned with a mutualism ecological model with Levy noise. The local existence and uniqueness of a positive solution are obtained with positive initial value, and the asymptotic behavior to the problem is studied.…
We study constrained versions of the Ingleton inequality in the entropic setting and quantify its stability under small violations of conditional independence. Although the classical Ingleton inequality fails for general entropy profiles,…
Mathematical models with time dependent parameters are of great interest in financial Mathematics because they capture real life scenarios in the financial market. In this study, via the Lie group technique, we analyse evolution-type…
We use homotopy operators for the $L_\infty$-algebra associated with an equivariant deformation problem in order to describe a smooth parametrization of the space of structures around a given one. Along the way we give new algebraic and…
The purpose of this survey article is to introduce the reader to a connection between Logic, Geometry, and Algebra which has recently come to light in the form of an interpretation of the constructive type theory of Martin-L\"of into…
L\'evy copulas are an important tool which can be used to build dependent L\'evy processes. In a classical setting, they have been used to model financial applications. In a Bayesian framework they have been employed to introduce dependent…
The Lie product and the order relation are viewed as defining structures for Hamiltonian dynamical systems. Their admissible combinations are singled out by the requirement that the group of the Lie automorphisms be contained in the group…
This paper explores stochastic modeling approaches to elucidate the intricate dynamics of stock prices and volatility in financial markets. Beginning with an overview of Brownian motion and its historical significance in finance, we delve…
In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset process. The possible non-linear structure and the fact that the interest…
We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multidimensional L\'evy process. We set up a valuation model in…