Related papers: Correlating L\'evy processes with Self-Decomposabi…
We analyse a multilevel Monte Carlo method for the approximation of distribution functions of univariate random variables. Since, by assumption, the target distribution is not known explicitly, approximations have to be used. We provide an…
The important application of semi-static hedging in financial markets naturally leads to the notion of quasi self-dual processes. The focus of our study is to give new characterizations of quasi self-duality for exponential L\'evy processes…
I overview recent research advances in Bayesian state-space modeling of multivariate time series. A main focus is on the decouple/recouple concept that enables application of state-space models to increasingly large-scale data, applying to…
We investigate an approximate sampling scheme that can significantly reduce the cost scaling of variational Monte Carlo when it is employed to predict the energy differences associated with local chemical changes. Inspired by side-chaining…
Metropolis Monte Carlo simulation is a powerful tool for studying the equilibrium properties of matter. In complex condensed-phase systems, however, it is difficult to design Monte Carlo moves with high acceptance probabilities that also…
We consider a class of assets whose risk-neutral pricing dynamics are described by an exponential L\'evy-type process subject to default. The class of processes we consider features locally-dependent drift, diffusion and default-intensity…
Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that period. In this paper we define a class of stochastic volatility…
In this paper we develop a framework for discretely compounding interest rates which is based on the forward price process approach. This approach has a number of advantages, in particular in the current market environment. Compared to the…
We present several applications of the bias-variance decomposition, beginning with straightforward Monte Carlo estimation of integrals, but progressing to the more complex problem of Monte Carlo Optimization (MCO), which involves finding a…
We develop a Monte-Carlo based numerical method for solving discrete-time stochastic optimal control problems with inventory. These are optimal control problems in which the control affects only a deterministically evolving inventory…
To model subsurface flow in uncertain heterogeneous\ fractured media an elliptic equation with a discontinuous stochastic diffusion coefficient - also called random field - may be used. In case of a one-dimensional parameter space, L\'evy…
We study a class of Markov processes that combine local dynamics, arising from a fixed Markov process, with regenerations arising at a state-dependent rate. We give conditions under which such processes possess a given target distribution…
We model the logarithm of the price (log-price) of a financial asset as a random variable obtained by projecting an operator stable random vector with a scaling index matrix $\underline{\underline{E}}$ onto a non-random vector. The scaling…
A self-organized model with social percolation process is proposed to describe the propagations of information for different trading ways across a social system and the automatic formation of various groups within market traders. Based on…
Market-based coordination of demand side assets has gained great interests in recent years. In spite of its efficiency, there is a risk that the interaction between the dynamic assets through the price signal could result in an unstable…
Given a spectrally negative L\'evy process and independent Poisson observation times, we consider a periodic barrier strategy that pushes the process down to a certain level whenever it is above it. We also consider the versions with…
We consider a L\'evy process $Y(t)$ that is not permanently observed, but rather inspected at Poisson($\omega$) moments only, over an exponentially distributed time $T_\beta$ with parameter $\beta$. The focus lies on the analysis of the…
This study presents contemporaneous modeling of asset return and price range within the framework of stochastic volatility with leverage. A new representation of the probability density function for the price range is provided, and its…
Recent developments on financial markets have revealed the limits of Brownian motion pricing models when they are applied to actual markets. L\'evy processes, that admit jumps over time, have been found more useful for applications. Thus,…
In this paper we consider storage and inventory systems. Our aim is to apply and review main results of the fluctuation theory of stochastic processes in the context of storage and inventory modeling. We describe systems where the inflow is…