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This study investigates the efficacy of Conditional Restricted Boltzmann Machines (CRBMs) for modeling high-dimensional financial time series and detecting systemic risk regimes. We extend the classical application of static Restricted…
This paper introduces a cure rate survival model by assuming that the time to the event of interest follows a beta prime distribution and that the number of competing causes of the event of interest follows a negative binomial distribution.…
The Dybvig-Ingersoll-Ross (DIR) theorem states that, in arbitrage-free term structure models, long-term yields and forward rates can never fall. We present a refined version of the DIR theorem, where we identify the reciprocal of the…
Randomized controlled trials (RCTs) often exhibit limited inferential efficiency in estimating treatment effects due to small sample sizes. In recent years, the combination of external controls has gained increasing attention as a means of…
For random variables produced through the inverse transform method, approximate random variables are introduced, which are produced by approximations to a distribution's inverse cumulative distribution function. These approximations are…
In this paper, we clarify the relations between the existing sets of regularity conditions for convergence rates of nonparametric indirect regression (NPIR) and nonparametric instrumental variables (NPIV) regression models. We establish…
The rough Bergomi (rBergomi) model, introduced recently in [5], is a promising rough volatility model in quantitative finance. It is a parsimonious model depending on only three parameters, and yet remarkably fits with empirical implied…
A new semi-analytical pricing model for Bermudan swaptions based on swap rates distributions and correlations between them. The model does not require product specific calibration.
We propose a model in which, in exchange to the payment of a fixed transaction cost, an insurance company can choose the retention level as well as the time at which subscribing a perpetual reinsurance contract. The surplus process of the…
Deterministic rate equations are widely used in the study of stochastic, interacting particles systems. This approach assumes that the inherent noise, associated with the discreteness of the elementary constituents, may be neglected when…
We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidences regarding the divergences between…
Current approaches to model-based offline reinforcement learning often incorporate uncertainty-based reward penalization to address the distributional shift problem. These approaches, commonly known as pessimistic value iteration, use Monte…
The SIR model is used extensively in the field of epidemiology, in particular, for the analysis of communal diseases. One problem with SIR and other existing models is that they are tailored to random or Erdos type networks since they do…
In this paper, we consider the Heston-CIR model with L\'{e}vy process for pricing in the foreign exchange (FX) market by providing a new formula that better fits the distribution of prices. To do that, first, we study the existence and…
A positive correlation between exposure and counterparty credit risk gives rise to the so-called Wrong-Way Risk (WWR). Even after a decade of the financial crisis, addressing WWR in both sound and tractable ways remains challenging.…
Randomized controlled trials (RCTs) are the gold standard for evaluating causal effects but are often costly and difficult to scale; consequently, they are frequently augmented with auxiliary external controls in many applications. Prior…
In this paper, we price the zero-coupon bond of the extended Cox-Ingersoll-Ross model by a Dyson type formula established in one of the authors' paper Jin, Peng and Schelllhorn (2016) using Malliavin calculus. This formula provides a fast…
The use of non-translation invariant risk measures within the equal risk pricing (ERP) methodology for the valuation of financial derivatives is investigated. The ability to move beyond the class of convex risk measures considered in…
This Ph.D. thesis explores approximations and regularity for the Heston stochastic volatility model through three interconnected works. The first work focuses on developing high-order weak approximations for the Cox-Ingersoll-Ross (CIR)…
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…