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We consider a market model where there are two levels of information. The public information generated by the financial assets, and a larger flow of information that contains additional knowledge about a random time. This random time can…

The proposed model modifies option pricing formulas for the basic case of log-normal probability distribution providing correspondence to formulated criteria of efficiency and completeness. The model is self-calibrating by historic…

Regression models are essential for a wide range of real-world applications. However, in practice, target values are not always precisely known; instead, they may be represented as intervals of acceptable values. This challenge has led to…

The current definition of rate-induced tipping is tied to the idea of a pullback attractor limiting in forward and backward time to a stable quasi-static equilibrium. Here we propose a new definition that encompasses the standard definition…

The lifetime behaviour of loans is notoriously difficult to model, which can compromise a bank's financial reserves against future losses, if modelled poorly. Therefore, we present a data-driven comparative study amongst three techniques in…

The comparison of form factors calculated from a single-particle current in different relativistic quantum mechanic approaches evidences tremendous discrepancies. The role of constraints coming from space-time translations is considered…

Forward regression is a classical and effective tool for variable screening in ultra-high dimensional linear models, but its standard projection-based implementation can be computationally costly and numerically unstable when predictors are…

First-passage properties are central to the kinetics of target-search processes. Theoretical approaches so far primarily focused on predicting first-passage statistics for a given process or model. In practice, however, one faces the…

This paper proposes a new extension of the linear failure rate (LFR) model to better capture real-world lifetime data. The model incorporates an additional shape parameter to increase flexibility. It helps model the minimum survival time…

Rare events are ubiquitous in many different fields, yet they are notoriously difficult to simulate because few, if any, events are observed in a conventiona l simulation run. Over the past several decades, specialised simulation methods…

We consider a threshold factor model for high-dimensional time series in which the dynamics of the time series is assumed to switch between different regimes according to the value of a threshold variable. This is an extension of threshold…

We reconsider the valuation of barrier options by means of binomial trees from a "forward looking" prospective rather than the more conventional "backward induction" one used by standard approaches. This reformulation allows us to write…

We introduce a new class of forward performance processes that are endogenous and predictable with regards to an underlying market information set and, furthermore, are updated at discrete times. We analyze in detail a binomial model whose…

The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with transaction costs are considered and capital requirements can be…

People often face trade-offs between costs and benefits occurring at various points in time. The predominant discounting approach is to use the exponential form. Central to this approach is the discount rate, a unique parameter that…

A new multivariate stochastic volatility estimation procedure for financial time series is proposed. A Wishart autoregressive process is considered for the volatility precision covariance matrix, for the estimation of which a two step…

The phase shift rules enable the estimation of the derivative of a quantum state with respect to phase parameters, providing valuable insights into the behavior and dynamics of quantum systems. This capability is essential in quantum…

Extant literature on fair pricing methods for actuarial contexts has primarily focused on the regression setting. While such approaches are well-suited to short-term products, it is unclear how they generalize to long-term products, whose…

This paper aims to extend downside protection to a hedge fund investment portfolio based on shared loss fee structures that have become increasing popular in the market. In particular, we consider a second tranche and suggest the purchase…

A study of time homogeneous, real valued Markov processes with a special property and a non-atomic initial distribution is provided. The new notion of a function of evolution of distribution which determines the dependency between one…