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The drift sequential parameter estimation problems for the Cox-Ingersoll-Ross (CIR) processes under the limited duration of observation are studied. Truncated sequential estimation methods for both scalar and {two}-dimensional parameter…
We address the problem of asset pricing in a market where there is no risky asset. Previous work developed a theoretical model for a shadow riskless rate (SRR) for such a market in terms of the drift component of the state-price deflator…
This article introduces a k-Inflated Negative Binomial mixture distribution/regression model as a more flexible alternative to zero-inflated Poisson distribution/regression model. An EM algorithm has been employed to estimate the model's…
We consider the problem of non-parametric testing of independence of two components of a stationary bivariate spatial process. In particular, we revisit the random shift approach that has become a standard method for testing the independent…
In this paper, a multivariate constrained robust M-regression (MCRM) method is developed to estimate shaping coefficients for electricity forward prices. An important benefit of the new method is that model arbitrage can be ruled out at an…
We consider the maximization of the long-term growth rate in the Black-Scholes model under proportional transaction costs as in Taksar, Klass and Assaf [Math. Oper. Res. 13, 1988]. Similarly as in Kallsen and Muhle-Karbe [Ann. Appl.…
We propose two methods to find a proper shift parameter in the shift-and-invert method for computing matrix exponential matrix-vector products. These methods are useful in the case of matrix exponential action has to be computed for a…
Discretely sampled variance and volatility swaps trade actively in OTC markets. To price these swaps, the continuously sampled approximation is often used to simplify the computations. The purpose of this paper is to study the conditions…
Diffusion models typically operate in the standard framework of generative modelling by producing continuously-valued datapoints. To this end, they rely on a progressive Gaussian smoothing of the original data distribution, which admits an…
By capturing outliers, volatility clustering, and tail dependence in the asset return distribution, we build a sophisticated model to predict the downside risk of the global financial market. We further develop a dynamic regime switching…
The Hull-White one factor model is used to price interest rate options. The parameters of the model are often calibrated to simple liquid instruments, in particular European swaptions. It is therefore very important to have very efficient…
Following the foundational work of the Black--Scholes model, extensive research has been developed to price the option by addressing its underlying assumptions and associated pricing biases. This study introduces a novel framework for…
Policy analysts are often interested in treating the units with extreme outcomes, such as infants with extremely low birth weights. Existing changes-in-changes (CIC) estimators are tailored to middle quantiles and do not work well for such…
With the reform of interest rate benchmarks, interbank offered rates (IBORs) like LIBOR have been replaced by risk-free rates (RFRs), such as the Secured Overnight Financing Rate (SOFR) in the U.S. and the Euro Short-Term Rate (\euro STR)…
We discuss a simple extension of the Ho and Lee model with generic time-dependent drift in which: 1) we compute bond prices analytically; 2) the yield curve is sensible and the asymptotic yield is positive; and 3) our analytical solution…
We consider the off-policy evaluation (OPE) problem in contextual bandits, where the goal is to estimate the value of a target policy using the data collected by a logging policy. Most popular approaches to the OPE are variants of the…
We establish a collection of closed-loop guarantees and propose a scalable optimization algorithm for distributionally robust model predictive control (DRMPC) applied to linear systems, convex constraints, and quadratic costs. Via standard…
In recent years, real-world external controls have grown in popularity as a tool to empower randomized placebo-controlled trials, particularly in rare diseases or cases where balanced randomization is unethical or impractical. However, as…
Compartmental models like the Susceptible-Infected-Recovered (SIR)\cite{Kermack1927} and its extensions such as the Susceptible-Exposed-Infected-Recovered (SEIRS)\cite{Ottar2020,Ignazio2021,Grimm2021,Paoluzzi2021} are commonly used to model…
We consider the problem of computing the Credit Value Adjustment ({CVA}) of a European option in presence of the Wrong Way Risk ({WWR}) in a default intensity setting. Namely we model the asset price evolution as solution to a linear…