Related papers: Multiple yield curve modelling with CBI processes
Switching dynamical systems provide a powerful, interpretable modeling framework for inference in time-series data in, e.g., the natural sciences or engineering applications. Since many areas, such as biology or discrete-event systems, are…
Communication is now a standard tool in the central bank's monetary policy toolkit. Theoretically, communication provides the central bank an opportunity to guide public expectations, and it has been shown empirically that central bank…
Quadratic Hawkes (QHawkes) processes have proved effective at reproducing the statistics of price changes, capturing many of the stylised facts of financial markets. Motivated by the recently reported strong occurrence of endogenous…
Flexible estimation of multiple conditional quantiles is of interest in numerous applications, such as studying the effect of pregnancy-related factors on low and high birth weight. We propose a Bayesian non-parametric method to…
This article presents a generic framework for modeling the dynamics of forward curves in commodity market as commodity derivatives are typically traded by futures or forwards. We have theoretically demonstrated that commodity prices are…
In the LIBOR era, banks routinely tied revolving credit facilities to credit-sensitive benchmarks. This study assesses the Across-the-Curve Credit Spread Index (AXI) -- a transparent, transaction-based measure of wholesale bank funding…
Introduction. There is currently no guidance on how to assess the calibration of multistate models used for risk prediction. We introduce several techniques that can be used to produce calibration plots for the transition probabilities of a…
We introduce a simple model for equity index derivatives. The model generalizes well known L\`evy Normal Tempered Stable processes (e.g. NIG and VG) with time dependent parameters. It accurately fits Equity index implied volatility surfaces…
We formulate a forward inflation index model with multi-factor volatility structure featuring a parametric form that allows calibration to correlations between indices of different tenors observed in the market. Assuming the nominal…
The class of affine LIBOR models is appealing since it satisfies three central requirements of interest rate modeling. It is arbitrage-free, interest rates are nonnegative and caplet and swaption prices can be calculated analytically. In…
A hierarchical approach to the construction of compound distributions for process-induced faults in IC manufacture is proposed. Within this framework, the negative binomial distribution and the compound binomial distribution are treated as…
Continuous-state branching processes (CSBPs) with immigration (CBIs), stopped on hitting zero, are generalized by allowing the process governing immigration to be any L\'evy process without negative jumps. Unlike the CBIs, these newly…
Interest rate market models, like the LIBOR market model, have the advantage that the basic model quantities are directly observable in financial markets. Inflation market models extend this approach to inflation markets, where zero-coupon…
The notion of a credit spread curve is fundamental in fixed income investing, but in practice it is not `given' and needs to be constructed from bond prices either for a particular issuer, or for a sector rating-by-rating. Rather than…
A heat kernel approach is proposed for the development of a general, flexible, and mathematically tractable asset pricing framework in finite time. The pricing kernel, giving rise to the price system in an incomplete market, is modelled by…
We propose a new stochastic model for streamflow discharge timeseries as a jump-driven process, called a superposition of continuous-state branching processes with immigration (a supCBI process). It is a non-Markovian model having the…
Multiplicative processes and multifractals have earned increased popularity in applications ranging from hydrodynamic turbulence to computer network traffic, from image processing to economics. We analyse the multifractality of the recently…
The use of cumulative incidence functions for characterizing the risk of one type of event in the presence of others has become increasingly popular over the past decade. The problems of modeling, estimation and inference have been treated…
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…
Starting from inhomogeneous time scaling and linear decorrelation between successive price returns, Baldovin and Stella recently proposed a way to build a model describing the time evolution of a financial index. We first make it fully…