Related papers: Consistency conditions for affine term structure m…
The intensity of a default time is obtained by assuming that the default indicator process has an absolutely continuous compensator. Here we drop the assumption of absolute continuity with respect to the Lebesgue measure and only assume…
Shape restrictions have played a central role in economics as both testable implications of theory and sufficient conditions for obtaining informative counterfactual predictions. In this paper we provide a general procedure for inference…
We present cross and time series analysis of price fluctuations in the U.S. Treasury fixed income market. By means of techniques borrowed from statistical physics we show that the correlation among bonds depends strongly on the maturity and…
This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are…
We model the term structure of the forward default intensity and the default density by using L\'evy random fields, which allow us to consider the credit derivatives with an after-default recovery payment. As applications, we study the…
This work is focused on the extension and assessment of the monotonicity-preserving scheme in [3] and the local bounds preserving scheme in [5] to hierarchical octree adaptive mesh refinement (AMR). Whereas the former can readily be used on…
This paper develops necessary and sufficient conditions for the preservation of asymptotic convergence rates of deterministically and stochastically perturbed ordinary differential equations with regularly varying nonlinearity close to…
Fixed income markets share many features with the equity markets. However there are significant differences as well and many attempts have been done in the past to develop specific tools which describe (and possibly forecasts) the behavior…
In a decision-theoretic framework, the minimax lower bound provides the worst-case performance of estimators relative to a given class of statistical models. For parametric and semiparametric models, the H\'{a}jek--Le Cam local asymptotic…
Regulatory and contractual constraints on individual exposures are standard in insurance and reinsurance markets, but a poorly designed constraint can distort the economic incentives of risk-averse agents. In the unconstrained problem, the…
This paper deals with the problem of global parameter estimation of AD(1, n) where n is a positive integer which is a subclass of affine diffusions introduced by Duffie, Filipovic, and Schachermayer. In general affine models are applied to…
The two main approaches in credit risk are the structural approach pioneered in Merton (1974) and the reduced-form framework proposed in Jarrow & Turnbull (1995) and in Artzner & Delbaen (1995). The goal of this article is to provide a…
With the reform of interest rate benchmarks, interbank offered rates (IBORs) like LIBOR have been replaced by risk-free rates (RFRs), such as the Secured Overnight Financing Rate (SOFR) in the U.S. and the Euro Short-Term Rate (\euro STR)…
This paper addresses the challenge of model uncertainty in quantitative finance, where decisions in portfolio allocation, derivative pricing, and risk management rely on estimating stochastic models from limited data. In practice, the…
A simple quantum model explains the Levy-unstable distributions for individual stock returns observed by ref.[1]. The probability density function of the returns is written as the squared modulus of an amplitude. For short time intervals…
This paper investigates contraction properties of switched dynamical systems for the case that all modes are non-contracting, thereby extending existing results that require at least one mode to be contracting. Leveraging the property that…
Diffusion is a fundamental physical phenomenon with critical applications in fields such as metallurgy, cell biology, and population dynamics. While standard diffusion is well-understood, anomalous diffusion often requires complex non-local…
Neglecting many motivating details for the Park-Pham theorem (previously known as the Kahn-Kalai conjecture), the result starts with a finite set $X$, a non-trivial upper set $\mathcal{F} \subseteq 2^X$, and a particular parameterized…
In applied probability, the normal approximation is often used for the distribution of data with assumed additive structure. This tradition is based on the central limit theorem for sums of (independent) random variables. However, it is…
To make medium- and long-term insurance products attractive, it is essential to enable participation in stock market returns. However, to eliminate downside risk, guarantees must be included, which naturally leads to the challenge of…