Related papers: A Three-Variable Benchmark for Post-GFC Covered In…
We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous…
We present a new model for credit index derivatives, in the top-down approach. This model has a dynamic loss intensity process with volatility and jumps and can include counterparty risk. It handles CDS, CDO tranches, Nth-to-default and…
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…
Growth rate of real GDP per capita, GDPpc, is represented as a sum of two components, a monotonically decreasing economic trend and fluctuations related to population change. The economic trend is modelled by an inverse function of GDPpc…
The paper introduces benchmark-neutral pricing and hedging for long-term contingent claims. It employs the growth optimal portfolio of the stocks as numeraire and the new benchmark-neutral pricing measure for pricing. For a realistic…
In both high-performance computing (HPC) environments and the public cloud, the duration of time to retrieve or save your results is simultaneously unpredictable and important to your over all resource budget. It is generally accepted…
We provide a general HJM framework for forward contracts written on abstract market indices with arbitrary fixing and payment adjustments, and featuring collateralization in any currency denominations. In view of this, we first provide a…
This paper studies quantitative deviation bounds for statistical ensembles evolving under the one-parameter flow of a nearly integrable Hamiltonian system. Combining Nekhoroshev-type stability estimates with phase-mixing arguments, we…
Accurate forecasting of the grid carbon intensity factor (CIF) is critical for enabling demand-side management and reducing emissions in modern electricity systems. Leveraging multiple interrelated time series, CIF prediction is typically…
The Journal Impact Factor (IF), as a core indicator of academic evaluation, has not been systematically studied in relation to its historical evolution and global macroeconomic environment. This paper employs a period-based regression…
The notion of a credit spread curve is fundamental in fixed income investing, but in practice it is not `given' and needs to be constructed from bond prices either for a particular issuer, or for a sector rating-by-rating. Rather than…
Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock…
This paper provides a methodology for fast and accurate pricing of the long-dated contracts that arise as the building blocks of insurance and pension fund agreements. It applies the recursive marginal quantization (RMQ) and joint recursive…
We consider a class of semi-parametric dynamic models with strong white noise errors. This class of processes includes the standard Vector Autoregressive (VAR) model, the nonfundamental structural VAR, the mixed causal-noncausal models, as…
In this paper we aim to improve existing empirical exchange rate models by accounting for uncertainty with respect to the underlying structural representation. Within a flexible Bayesian non-linear time series framework, our modeling…
Addressing climate change effectively requires more than cataloguing the number of policies in place; it calls for tools that can reveal their thematic priorities and their tangible impacts on development outcomes. Existing assessments…
Extensive monitoring systems generate data that is usually compressed for network transmission. This compressed data might then be processed in the cloud for tasks such as anomaly detection. However, compression can potentially impair the…
The analysis of high-frequency financial data is often impeded by the presence of noise. This article is motivated by intraday return data in which market microstructure noise appears to be rough, that is, best captured by a continuous-time…
In the present paper, an empirical study of LIBOR (London Interbank Offered Rate) data is presented. In particular, a data set of interest rates from 1997 to 1999, for two different currencies and various maturities, is analyzed. It turns…
The inversion formula for conservative multifractal measures was unveiled mathematically a decade ago, which is however not well tested in real complex systems. In this Letter, we propose to verify the inversion formula using high-frequency…