Related papers: Two-dimensional forward and backward transition ra…
In one-dimensional random walks, the waiting time for each direction transitions is the same, even in the presence of bias, as a consequence of the microscopic-reversibility. We study the symmetry breaking of forward/ backward transition…
Pricing interest-rate financial derivatives is a major problem in finance, in which it is crucial to accurately reproduce the time-evolution of interest rates. Several stochastic dynamics have been proposed in the literature to model either…
This paper stidies the first passage times to constant boundaries for mixed-exponential jump diffusion processes. Explicit solutions of the Laplace transforms of the distribution of the first passage times, the joint distribution of the…
Classical linear regression is considered for a case when regression parameters depend on the external random environment. The last is described as a continuous time Markov chain with finite state space. Here the expected sojourn times in…
This paper investigates the role of high-dimensional information sets in the context of Markov switching models with time varying transition probabilities. Markov switching models are commonly employed in empirical macroeconomic research…
Conditional Asian options are recent market innovations, which offer cheaper and long-dated alternatives to regular Asian options. In contrast with payoffs from regular Asian options which are based on average asset prices, the payoffs from…
The recrossing correction to the transition state theory estimate of a thermal rate can be difficult to calculate when the energy barrier is flat. This problem arises, for example, in polymer escape if the polymer is long enough to stretch…
We present a general approach to the pricing of products in finance and insurance in the multi-period setting. It is a combination of the utility indifference pricing and optimal intertemporal risk allocation. We give a characterization of…
Traders and investors involved in an option contract having the underlying stock in range bound are likely to lose their initial investment. Timing in buying an option contract is of capital importance. In a recent article [1] the…
Financial markets provide an ideal frame for the study of crossing or first-passage time events of non-Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six futures markets are herein considered…
Optimal maintenance policies play an important role in the reliability analysis of repairable systems. This paper examines a two-unit priority standby system with a repair facility, where the priority unit is subject to preventive…
We consider the problem of simulating diffusion bridges, which are diffusion processes that are conditioned to initialize and terminate at two given states. The simulation of diffusion bridges has applications in diverse scientific fields…
Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps and stochastic volatility effects, and to study the first…
We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambiguity in model specification and in preferences and…
In this paper a new distribution is proposed. This new model provides more flexibility to modeling data with upside-down bathtub hazard rate function. A significant account of mathematical properties of the new distribution is presented.…
This paper develops numerical and causal interpretations of two-way fixed effects (TWFE) regressions in settings with nonbinary, nonstaggered treatments and time-varying covariates. Using the equivalence between TWFE and pooled…
Joint models for longitudinal and survival data have gained a lot of attention in recent years, with the development of myriad extensions to the basic model, including those which allow for multivariate longitudinal data, competing risks…
Forward-backward selection is one of the most basic and commonly-used feature selection algorithms available. It is also general and conceptually applicable to many different types of data. In this paper, we propose a heuristic that…
We propose a very efficient method for pricing various types of lookback options under Markov models. We utilize the model-free representations of lookback option prices as integrals of first passage probabilities. We combine efficient…
The distribution of health care payments to insurance plans has substantial consequences for social policy. Risk adjustment formulas predict spending in health insurance markets in order to provide fair benefits and health care coverage for…