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The non-population conserving SIR (SIR-NC) model to describe the spread of infections in a community is proposed and studied. Unlike the standard SIR model, SIR-NC does not assume population conservation. Although similar in form to the…
The disaggregated time-series for the Consumer Price Index (CPI) often exhibits exact zero price changes, stemming from structural features of the data collection process. However, the currently prominent stochastic volatility model of…
A market with asymmetric information can be viewed as a repeated exchange game between the informed sector and the uninformed one. In a market with risk-neutral agents, De Meyer [2010] proves that the price process should be a particular…
We study conditional risk minimization (CRM), i.e. the problem of learning a hypothesis of minimal risk for prediction at the next step of sequentially arriving dependent data. Despite it being a fundamental problem, successful learning in…
We study a high-dimensional regression setting under the assumption of known covariate distribution. We aim at estimating the amount of explained variation in the response by the best linear function of the covariates (the signal level). In…
We continue a series of papers where prices of the barrier options written on the underlying, which dynamics follows some one factor stochastic model with time-dependent coefficients and the barrier, are obtained in semi-closed form, see…
Models which postulate lognormal dynamics for interest rates which are compounded according to market conventions, such as forward LIBOR or forward swap rates, can be constructed initially in a discrete tenor framework. Interpolating…
We propose a continuous time model for financial markets with proportional transactions costs and a continuum of risky assets. This is motivated by bond markets in which the continuum of assets corresponds to the continuum of possible…
The incremental cost-effectiveness ratio (ICER) and incremental net benefit (INB) are widely used for cost-effectiveness analysis. We develop methods for estimation and inference for the ICER and INB which use the semiparametric stratified…
The Composed Image Retrieval (CIR) task aims to retrieve target images using a composed query consisting of a reference image and a modified text. Advanced methods often utilize contrastive learning as the optimization objective, which…
In finance, durations between successive transactions are usually modeled by the autoregressive conditional duration model based on a continuous distribution omitting zero values. Zero or close-to-zero durations can be caused by either…
The Seemingly Unrelated Regressions (SUR) model is a wide used estimation procedure in econometrics, insurance and finance, where very often, the regression model contains more than one equation. Unknown parameters, regression coefficients…
In this paper we develop a tractable structural model with analytical default probabilities depending on some dynamics parameters, and we show how to calibrate the model using a chosen number of Credit Default Swap (CDS) market quotes. We…
We develop a new approach to solving classification problems, which is bases on the theory of coherent measures of risk and risk sharing ideas. The proposed approach aims at designing a risk-averse classifier. The new approach allows for…
Many countries impose regulatory restrictions on lending rates known as interest rate caps. In most cases, these restrictions apply to the effective (rather than nominal) interest rate, a measure which incorporates all commissions and fees…
The integrated conditional moment (ICM) test is a classical and widely used method for assessing the adequacy of regression models. Although it performs well in fixed-dimension settings, its behavior changes dramatically when the predictor…
This paper starts by defining the criteria where the early-exercise of an American option is never optimal, under positive, or negative rates. It follows with a short analysis of the various shapes of the exercise region under negative…
This article's aim is to provide the solution to the equity premium puzzle without using calibrated values. Calibrated values of subjective time discount factor were used in my prior derived models because 4 variables were determined from 3…
In this paper, we consider a framework adapting the notion of cointegration when two asset prices are generated by a driftless It\^{o}-semimartingale featuring jumps with infinite activity, observed regularly and synchronously at high…
We introduce a financial market model featuring a risky asset whose price follows a sticky geometric Brownian motion and a riskless asset that grows with a constant interest rate $r\in \mathbb R $. We prove that this model satisfies No…