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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…
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…
We show short-time existence for curves driven by curve diffusion flow with a prescribed contact angle $\alpha \in (0, \pi)$: The evolving curve has free boundary points, which are supported on a line and it satisfies a no-flux condition.…
Under constant selection, each trait has a fixed fitness, and small mutation rates allow populations to efficiently exploit the optimal trait. Therefore it is reasonable to expect mutation rates will evolve downwards. However, we find this…
We obtain a decomposition of the call option price for a very general stochastic volatility diffusion model extending the decomposition obtained by E. Al\`os in [2] for the Heston model. We realize that a new term arises when the stock…
We consider the problem of estimating the transition rate matrix of a continuous-time Markov chain from a finite-duration realisation of this process. We approach this problem in an imprecise probabilistic framework, using a set of prior…
An exclusion particle model is considered as a highly simplified model of a limit order market. Its price behavior reproduces the well known crossover from over-diffusion (Hurst exponent H>1/2) to diffusion (H=1/2) when the time horizon is…
In this article, we discuss the continuous version of the generalized exchange-driven growth model which is a variant of the coagulation model in which a smaller size particle is detached from a bigger one and merges with another particle.…
We introduce a multivariate multidimensional mixed-effects regression model in a finite mixture framework. We relax the usual unidimensionality assumption on the random effects multivariate distribution. Thus, we introduce a…
We propose a method based on continuous time Markov chain approximation to compute the distribution of Parisian stopping times and price Parisian options under general one-dimensional Markov processes. We prove the convergence of the method…
This paper concerns a local volatility model in which volatility takes two possible values, and the specific value depends on whether the underlying price is above or below a given threshold value. The model is known, and a number of…
We consider the selection of prediction models for Markovian time series. For this purpose, we study the theoretical properties of the hold-out method. In the econometrics literature, the hold-out method is called out-of-sample and is the…
This paper offers a new class of models of the term structure of interest rates. We allow each instantaneous forward rate to be driven by a different stochastic shock, constrained in such a way as to keep the forward rate curve continuous.…
The discrete class algorithm presented in this paper is an efficient simulation tool for stochastic processes governed by a reasonably small set of transition rates. The algorithm is presented, its performance compared to prevailing methods…
This thesis develops a new framework for modelling price processes in finance, such as an equity price or foreign exchange rate. This can be related to the conventional Ito calculus-based framework through the time integral of a price's…
We propose a new model for the joint evolution of the European inflation rate, the European Central Bank official interest rate and the short-term interest rate, in a stochastic, continuous time setting. We derive the valuation equation for…
We consider the problem of statistical inference in a parametric finite Markov chain model and develop a robust estimator of the parameters defining the transition probabilities via minimization of a suitable (empirical) version of the…
The utility-based pricing of defaultable bonds in the case of stochastic intensity models of default risk is discussed. The Hamilton-Jacobi- Bellman (HJB) equations for the value functions is derived. A finite difference method is used to…
Longitudinal data are characterized by the dependence between observations coming from the same individual. In a regression perspective, such a dependence can be usefully ascribed to unobserved features (covariates) specific to each…
We develop a model to price inflation and interest rates derivatives using continuous-time dynamics that have some links with macroeconomic monetary DSGE models equipped with a Taylor rule: in particular, the reaction function of the…