相关论文: On break-even correlation: the way to price struct…

A model is developed to assess the profitability of loans or mortgages with a specified repayment schedule. Financial institutions face two competing risks: default and prepayment, both influenced by the stochastic evolution of credit…

Learning the joint dependence of discrete variables is a fundamental problem in machine learning, with many applications including prediction, clustering and dimensionality reduction. More recently, the framework of copula modeling has…

Key to effective generic, or "black-box", variational inference is the selection of an approximation to the target density that balances accuracy and speed. Copula models are promising options, but calibration of the approximation can be…

We introduce an arbitrage-free framework for robust valuation adjustments. An investor trades a credit default swap portfolio with a risky counterparty, and hedges credit risk by taking a position in defaultable bonds. The investor does not…

Financial contagion has been widely recognized as a fundamental risk to the financial system. Particularly potent is price-mediated contagion, wherein forced liquidations by firms depress asset prices and propagate financial stress,…

We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state dynamics, the forward-backward stochastic differential…

Given the univariate marginals of a real-valued, continuous-time martingale, (respectively, a family of measures parameterised by $t \in [0,T]$ which is increasing in convex order, or a double continuum of call prices) we construct a family…

Gaussian graphical models (GGMs) are well-established tools for probabilistic exploration of dependence structures using precision matrices. We develop a Bayesian method to incorporate covariate information in this GGMs setup in a nonlinear…

We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically…

Estimation of the covariance matrix of asset returns is crucial to portfolio construction. As suggested by economic theories, the correlation structure among assets differs between emerging markets and developed countries. It is therefore…

We define a copula process which describes the dependencies between arbitrarily many random variables independently of their marginal distributions. As an example, we develop a stochastic volatility model, Gaussian Copula Process Volatility…

In the framework of Black-Scholes-Merton model of financial derivatives, a path integral approach to option pricing is presented. A general formula to price European path dependent options on multidimensional assets is obtained and…

This paper prices and replicates the financial derivative whose payoff at $T$ is the wealth that would have accrued to a $\$1$ deposit into the best continuously-rebalanced portfolio (or fixed-fraction betting scheme) determined in…

Motivated by modern data forms such as images and multi-view data, the multi-attribute graphical model aims to explore the conditional independence structure among vectors. Under the Gaussian assumption, the conditional independence between…

In this study, we propose a new formula for spread option pricing with the dependence of two assets described by a copula function. The advantage of the proposed method is that it requires only the numerical evaluation of a one-dimensional…

The Gaussian graphical model (GGM) incorporates an undirected graph to represent the conditional dependence between variables, with the precision matrix encoding partial correlation between pair of variables given the others. To achieve…

The time-evolving precision matrix of a piecewise-constant Gaussian graphical model encodes the dynamic conditional dependency structure of a multivariate time-series. Traditionally, graphical models are estimated under the assumption that…

Consistent Recalibration models (CRC) have been introduced to capture in necessary generality the dynamic features of term structures of derivatives' prices. Several approaches have been suggested to tackle this problem, but all of them,…

This paper addresses the challenges of pricing exotic options and structured products, which traditional models often fail to handle due to their inability to capture real-world market phenomena like fat-tailed distributions and volatility…

We consider a dynamic pricing problem where customer response to the current price is impacted by the customer price expectation, aka reference price. We study a simple and novel reference price mechanism where reference price is the…