Related papers: Pricing Multi-event Triggered Catastrophe Bonds Ba…
Coastal compound floods (CCFs) are triggered by the interaction of multiple mechanisms, such as storm surges, storm rainfall, tides, and river flow. These events can bring significant damage to communities, and there is an increasing demand…
The pricing of derivatives tied to baskets of assets demands a sophisticated framework that aligns with the available market information to capture the intricate non-linear dependency structure among the assets. We describe the dynamics of…
In this paper, we consider the event-triggered cooperative robust practical output regulation problem for a class of linear minimum-phase multi-agent systems. We first convert our problem into the cooperative robust practical stabilization…
Modeling the impact of the order flow on asset prices is of primary importance to understand the behavior of financial markets. Part I of this paper reported the remarkable improvements in the description of the price dynamics which can be…
Using a suitable change of probability measure, we obtain a novel Poisson series representation for the arbitrage- free price process of vulnerable contingent claims in a regime-switching market driven by an underlying continuous- time…
We present a conditional space-time proper orthogonal decomposition (POD) formulation that is tailored to the eduction of the average, rare or intermittent event from an ensemble of realizations of a fluid process. By construction, the…
Classical Monte Carlo methods for pricing catastrophe insurance tail risk converge at order reciprocal root N, requiring large simulation budgets to resolve upper-tail percentiles of the loss distribution. This sample-sparsity problem can…
In this paper, we propose an event-based sampling policy to implement a constraint-tightening, robust MPC method. The proposed policy enjoys a computationally tractable design and is applicable to perturbed, linear time-invariant systems…
Recent studies document strong empirical support for multifactor models that aim to explain the cross-sectional variation in corporate bond expected excess returns. We revisit these findings and provide evidence that common factor pricing…
We introduce a new model for pricing corporate bonds, which is a modification of the classical model of Merton. In this new model, we drop the liquidity assumption of the firm's asset value process, and assume that there is a liquidly…
Abrupt catastrophic events bring business risks into firms. The paper introduces the Great Lushan Earthquake in 2013 in China as an unexpected shock to explore the causal effects on public firms in both the long and short term. DID-PSM…
Pricing formulae for defaultable corporate bonds with discrete coupons under consideration of the government taxes in the united model of structural and reduced form models are provided. The aim of this paper is to generalize the…
In this paper, we employ Credit Default Swaps (CDS) to model the joint and conditional distress probabilities of banks in Europe and the U.S. using factor copulas. We propose multi-factor, structured factor, and factor-vine models where the…
This paper studies the event-triggered cooperative global robust output regulation problem for a class of nonlinear multi-agent systems via a distributed internal model design. We show that our problem can be solved practically in the sense…
Agricultural price volatility, driven by market dynamics and meteorological factors such as temperature and precipitation, poses challenges for sustainable finance, planning, and policy. This study analyzes the impact of climate on crop…
In recent years, conditional copulas, that allow dependence between variables to vary according to the values of one or more covariates, have attracted increasing attention. In high dimension, vine copulas offer greater flexibility compared…
I formalize the ontology of apocalyptic events as synchronized morphogenetic manifolds within the framework of Thom's catastrophe theory. Local catastrophes (folds, cusps, umbilici) are extended to higher-order systemic collapses through…
This paper examines the problem of pricing spread options under some models with jumps driven by Compound Poisson Processes and stochastic volatilities in the form of Cox-Ingersoll-Ross(CIR) processes. We derive the characteristic function…
Trading pressure from one asset can move the price of another, a phenomenon referred to as cross impact. Using tick-by-tick data spanning 5 years for 500 assets listed in the United States, we identify the features that make cross-impact…
Understanding the dependence relationship of credit spreads of corporate bonds is important for risk management. Vine copula models with tail dependence are used to analyze a credit spread dataset of Chinese corporate bonds, understand the…