相关论文: Gaussian risk models with financial constraints

In this paper we study a class of quintessential Einstein Gauss-Bonnet models, focusing on their early and late-time phenomenology. With regard to the early-time phenomenology, we formalize the slow-roll evolution of these models and we…

Measuring model risk is required by regulators on financial and insurance markets. We separate model risk into parameter estimation risk and model specification risk, and we propose expected shortfall type model risk measures applied to…

In this paper we consider several continuous-time multivariate non-Gaussian models applied to finance and proposed in the literature in the last years. We study the models focusing on the parsimony of the number of parameters, the…

Estimating covariances between financial assets plays an important role in risk management. In practice, when the sample size is small compared to the number of variables, the empirical estimate is known to be very unstable. Here, we…

Quadratic variations of Gaussian processes play important role in both stochastic analysis and in applications such as estimation of model parameters, and for this reason the topic has been extensively studied in the literature. In this…

We construct a continuous time model for price-mediated contagion precipitated by a common exogenous stress to the banking book of all firms in the financial system. In this setting, firms are constrained so as to satisfy a risk-weight…

Studying Binomial and Gaussian return dynamics in discrete time, we show how excess volatility can be traded to create growth. We test our results on real world data to confirm the observed model phenomena while also highlighting implicit…

We investigate the feasibility of models of inflation with a large Gauss-Bonnet coupling at late times, which have been shown to modify and prevent the end of inflation. Despite the potential of Gauss-Bonnet models in predicting favourable…

We study the discrete time risk process modelled by the skip-free random walk and we derive the results connected to the ruin probability, such as crossing the fixed level, for this kind of process. We use the method relying on the…

We give a collection of explicit sufficient conditions for the true martingale property of a wide class of exponentials of semimartingales. We express the conditions in terms of semimartingale characteristics. This turns out to be very…

This paper proposes methods for Bayesian inference in time-varying parameter (TVP) quantile regression (QR) models featuring conditional heteroskedasticity. I use data augmentation schemes to render the model conditionally Gaussian and…

Warm inflationary universe models in the context of intermediate expansion, between power law and exponential, are studied. General conditions required for these models to be realizable are derived and discussed. This study is done in the…

In this work, we propose a model for estimating volatility from financial time series, extending the non-Gaussian family of space-state models with exact marginal likelihood proposed by Gamerman, Santos and Franco (2013). On the literature…

In these notes, we present some methods and applications of large deviations to finance and insurance. We begin with the classical ruin problem related to the Cramer's theorem and give en extension to an insurance model with investment in…

Quasi-Gaussian HJM models are a popular approach for modeling the dynamics of the yield curve. This is due to their low dimensional Markovian representation, which greatly simplifies their numerical implementation. We present a qualitative…

A standard quantitative method to access credit risk employs a factor model based on joint multivariate normal distribution properties. By extending a one-factor Gaussian copula model to make a more accurate default forecast, this paper…

In this paper we are interested in term structure models for pricing zero coupon bonds under rapidly oscillating stochastic volatility. We analyze solutions to the generalized Cox-Ingersoll-Ross two factors model describing clustering of…

Inspired by the double-debt problem in Japan where the mortgagor has to pay the remaining loan even if their house was destroyed by a catastrophic event, we model the lender's cash flow, by an exponential functional of a renewal-reward…

In this paper we propose a look at the capital risk problem inspired by deterministic, known from classical mechanics, problem of juggling. We propose capital equivalents to the Newton's laws of motion and on this basis we determine the…

We consider models of inflection point inflation. The main drawback of such models is that they suffer from the overshoot problem. Namely the initial condition should be fine tuned to be near the inflection point for the universe to…