Related papers: Multiple yield curve modelling with CBI processes
There are hidden observables for inflation, such as features localized in position space, which do not manifest themselves when only one inflation trajectory is considered. To address this issue, we investigate inflation dynamics in a…
We consider open multi-class queueing networks with general arrival processes, general processing time sequences and Bernoulli routing. The network is assumed to be operating under an arbitrary work-conserving scheduling policy that makes…
A general framework to describe a vast majority of biology-inspired systems is to model them as stochastic processes in which multiple couplings are in play at the same time. Molecular motors, chemical reaction networks, catalytic enzymes,…
Partial observations of continuous time-series dynamics at arbitrary time stamps exist in many disciplines. Fitting this type of data using statistical models with continuous dynamics is not only promising at an intuitive level but also has…
Multivariate dynamic time series models are widely encountered in practical studies, e.g., modelling policy transmission mechanism and measuring connectedness between economic agents. To better capture the dynamics, this paper proposes a…
Continuous time random walks combining diffusive and ballistic regimes are introduced to describe a class of L\'evy walks on lattices. By including exponentially-distributed waiting times separating the successive jump events of a walker,…
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…
Trading activities in financial systems create various channels through which systemic risk can propagate. An important contagion channel is financial fire sales, where a bank failure causes asset prices to fall due to asset liquidation,…
In this paper, we analyze the diversity of term structure functions (e.g., yield curves, swap curves, credit curves) constructed in a process which complies with some admissible properties: arbitrage-freeness, ability to fit market quotes…
We develop a novel methodology for the proxy variable identification of firm productivity in the presence of productivity-modifying learning and spillovers which facilitates a unified "internally consistent" analysis of the spillover…
We describe a high performance parallel implementation of a derivative pricing model, within which we introduce a new parallel method for the calibration of the industry standard SABR (stochastic-\alpha \beta \rho) stochastic volatility…
We survey some new progress on the pricing models driven by fractional Brownian motion \cb{or} mixed fractional Brownian motion. In particular, we give results on arbitrage opportunities, hedging, and option pricing in these models. We…
We focus on mean-variance hedging problem for models whose asset price follows an exponential additive process. Some representations of mean-variance hedging strategies for jump type models have already been suggested, but none is suited to…
Multiplicative random cascade model naturally reproduces the intermittency or multifractality, which is frequently shown among hierarchical complex systems such as turbulence and financial markets. As described herein, we investigate the…
Despite numerous research efforts in applying deep learning to time series forecasting, achieving high accuracy in multi-step predictions for volatile time series like crude oil prices remains a significant challenge. Moreover, most…
We describe how to apply the transport method to compute inflationary observables in a broad range of multiple-field models. The method is efficient and encompasses scenarios with curved field-space metrics, violations of slow-roll…
Targeting a better understanding of credit market dynamics, the authors have studied a stochastic model named the Hawkes process. Describing trades arrival times, this kind of model allows for the capture of self-excitement and mutual…
As corporates and governments become more digital, they become vulnerable to various forms of cyber attack. Cyber insurance products have been used as risk management tools, yet their pricing does not reflect actual risk, including that of…
In this paper, local linear estimators are adapted for the unknown infinitesimal coefficients associated with continuous-time asset return model with jumps, which can correct the bias automatically due to their simple bias representation.…
We introduce a framework for generating highly multimodal datasets with explicitly calculable mutual information (MI) between modalities. This enables the construction of benchmark datasets that provide a novel testbed for systematic…