Related papers: Consistency conditions for affine term structure m…
Discrete-time models of non-uniformly sampled nonlinear systems under zero-order hold relate the next state sample to the current state sample, (constant) input value, and sampling interval. The exact discrete-time model, that is, the…
We consider a class of asset pricing models, where the risk-neutral joint process of log-price and its stochastic variance is an affine process in the sense of Duffie, Filipovic and Schachermayer [2003]. First we obtain conditions for the…
The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule that links discount rate and marginal utility of aggregate…
SOFR derivatives market remains illiquid and incomplete so it is not amenable to classical risk-neutral term structure models which are based on the assumption of perfect liquidity and completeness. This paper develops a statistical SOFR…
The paper tests the validity of the critique of the fiscal theory of the price level. A stochastic general equilibrium model with continuous time is constructed. An active fiscal policy and a passive monetary policy have been set. Monetary…
The determination of acceptability prices of contingent claims requires the choice of a stochastic model for the underlying asset price dynamics. Given this model, optimal bid and ask prices can be found by stochastic optimization. However,…
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 the Feynman-Kac formula, a work fluctuation theorem for a Brownian particle in a nonconfining potential, e.g., a potential well with finite depth, is derived. The theorem yields aninequality that puts a lower bound on the average work…
We present simple general conditions on the acceptance sets under which their induced monetary risk and deviation measures are comonotonic additive. We show that acceptance sets induce comonotonic additive risk measures if and only if the…
Discrete-time affine processes are widely used in finance and economics and encompass count, positive, and nonnegative-valued processes. This paper develops near-unit-root asymptotic theory for this class of models. Unlike linear AR(1)…
It has been stated that for a short-ranged surface interaction, the probability of a low-energy particle sticking to a surface always vanishes as $s\sim k$ with $k\to 0$ where $k=\sqrt{E}$. Deviations from this so-called universal threshold…
Common approaches to inference for structural and reduced-form parameters in empirical economic analysis are based on the consistency and the root-n asymptotic normality of the GMM and M estimators. The canonical consistency (respectively,…
A new multi-factor short rate model is presented which is bounded from below by a real-valued function of time. The mean-reverting short rate process is modeled by a sum of pure-jump Ornstein--Uhlenbeck processes such that the related bond…
Sufficient conditions are proven for 't Hooft's consistency conditions to hold at points in the moduli space of supersymmetric gauge theories. Known results for anomaly matching in supersymmetric QCD are rederived as a sample application of…
Although the CML (Capital Market Line), the Intertemporal-CAPM, the CAPM/SML (Security Market Line) and the Intertemporal Arbitrage Pricing Theory (IAPT) are widely used in portfolio management, valuation and capital markets financing;…
In stochastic volatility models based on time-homogeneous diffusions, we provide a simple necessary and sufficient condition for the discretely sampled fair strike of a variance swap to converge to the continuously sampled fair strike. It…
This article clarifies the relationship between pricing kernel monotonicity and the existence of opportunities for stochastic arbitrage in a complete and frictionless market of derivative securities written on a market portfolio. The…
Models of Asymmetric Dark Matter (ADM) with a sufficiently attractive and long-range force gives rise to stable bound objects, analogous to nuclei in the Standard Model, called nuggets. We study the properties of these nuggets and compute…
We consider a family of conditional nonlinear expectations defined on the space of bounded random variables and indexed by the class of all the sub-sigma-algebras of a given underlying sigma-algebra. We show that if this family satisfies a…
We study stability of stationary solutions for a class of non-local semilinear parabolic equations. To this end, we prove the Feynman--Kac formula for a L\'{e}vy processes with time-dependent potentials and arbitrary initial condition. We…