相关论文: A change of measure formula for recursive conditio…

We provide an European option pricing formula written in the form of an infinite series of Black Scholes type terms under double Levy jumps model, where both the interest rate and underlying price are driven by Levy process. The series…

This paper gives the recursion formula for mixed multiplicities of maximal degrees with respect to joint reductions of ideals, which is one of important results in the mixed multiplicity theory. Using this result, we give consequences on…

An asset pricing model using long-run capital share growth risk has recently been found to successfully explain U.S. stock returns. Our paper adopts a recursive preference utility framework to derive an heterogeneous asset pricing model…

In this work we propose a new kind of parameterized outer estimate of the united solution set to an interval parametric linear system. The new method has several advantages compared to the methods obtaining parameterized solutions…

This paper focuses on recursive estimation of time varying autoregressive processes in a nonparametric setting. The stability of the model is revisited and uniform results are provided when the time-varying autoregressive parameters belong…

G-expectation, as a sublinear expectation, provides a powerful framework for modeling uncertainty in financial markets. Motivated by the need for robust valuation under model uncertainty, this work develops a unified risk-neutral valuation…

We establish a variety of numerical representations of preference relations induced by set-valued risk measures. Because of the general incompleteness of such preferences, we have to deal with multi-utility representations. We look for…

A new asymptotic expansion scheme for backward SDEs (BSDEs) is proposed.The perturbation parameter is introduced just to scale the forward stochastic variables within a BSDE. In contrast to the standard small-diffusion asymptotic expansion…

This paper focuses on inverse problems to identify parameters by incorporating information from measurements. These generally ill-posed problems are formulated here in a probabilistic setting based on Bayes's theorem because it leads to a…

In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous- time information processes that describe the flow of information about market factors in a monetary…

We introduce Sequential Neural Posterior Score Estimation (SNPSE), a score-based method for Bayesian inference in simulator-based models. Our method, inspired by the remarkable success of score-based methods in generative modelling,…

Marginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against severe global financial market downturns. In this context,…

Novel multi-step predictor-corrector numerical schemes have been derived for approximating decoupled forward-backward stochastic differential equations (FBSDEs). The stability and high order rate of convergence of the schemes are rigorously…

Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps and stochastic volatility effects, and to study the first…

Using simple particle models of limit order markets, we argue that mid-term over-diffusive price behaviour is inherent to the very nature of these markets. Several rules for rate changes are considered. We obtain analytical results for…

In many modern regression applications, the response consists of multiple categorical random variables whose probability mass is a function of a common set of predictors. In this article, we propose a new method for modeling such a…

We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under…

We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multidimensional L\'evy process. We set up a valuation model in…

This paper proposes a theory of stock market predictability patterns based on a model of heterogeneous beliefs. In a discrete finite time framework, some agents receive news about an asset's fundamental value through a noisy signal. The…

Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes process in conjunction with a bivariate jump diffusion. A state space representation is used to link observed returns, plus nonparametric measures of…