相关论文: Decomposing LIBOR in Transition: Evidence from the…

I estimate the Susceptible-Infected-Recovered (SIR) epidemic model for Coronavirus Disease 2019 (COVID-19). The transmission rate is heterogeneous across countries and far exceeds the recovery rate, which enables a fast spread. In the…

The abrupt outbreak of the COVID-19 pandemic was the most significant event in 2020, which had profound and lasting impacts across the world. Studies on energy markets observed a decline in energy demand and changes in energy consumption…

An empirical analysis on Eurodollar interest rates daily data in the time period 1990-1996, is performed and compared with Libor data in the time period 1984-1998. The complementary cumulative distributions for the daily fluctuations at…

Based on the official data modeling, this paper studies the transmission process of the Corona Virus Disease 2019 (COVID-19). The error between the model and the official data curve is within 3%. At the same time, it realized forward…

This paper studies the optimal timing to liquidate credit derivatives in a general intensity-based credit risk model under stochastic interest rate. We incorporate the potential price discrepancy between the market and investors, which is…

The COVID-19 recession that started in March 2020 led to an unprecedented decline in economic activity across the globe. To fight this recession, policy makers in central banks engaged in expansionary monetary policy. This paper asks…

In their response to the COVID-19 outbreak, governments face the dilemma to balance public health and economy. Mobility plays a central role in this dilemma because the movement of people enables both economic activity and virus spread. We…

Motivated by the ongoing pandemic COVID-19, we propose a closed-loop framework that combines inference from testing data, learning the parameters of the dynamics and optimal resource allocation for controlling the spread of the…

This paper develops a two-dimensional structural framework for valuing credit default swaps and corporate bonds in the presence of default contagion. Modelling the values of related firms as correlated geometric Brownian motions with…

This paper examines the empirical failure of uncovered interest parity (UIP) and proposes a structural explanation based on a mean-reverting risk premium. We define a realized premium as the deviation between observed exchange rate returns…

Metapopulation models provide the theoretical framework for describing disease spread between different populations connected by a network. In particular, these models are at the basis of most simulations of pandemic spread. They are…

We propose a new model for pricing Quanto CDS and risky bonds. The model operates with four stochastic factors, namely: hazard rate, foreign exchange rate, domestic interest rate, and foreign interest rate, and also allows for…

The economic shocks that followed the COVID-19 pandemic have brought to light the difficulty, both for academics and policy makers, of describing and predicting the dynamics of inflation. This paper offers an alternative modelling approach.…

The classical reduced-form and filtration expansion framework in credit risk is extended to the case of multiple, non-ordered defaults, assuming that conditional densities of the default times exist. Intensities and pricing formulas are…

At present, there is an explosion of practical interest in the pricing of interest rate (IR) derivatives. Textbook pricing methods do not take into account the leptokurticity of the underlying IR process. In this paper, such a leptokurtic…

We derive explicit valuation formulae for an exotic path-dependent interest rate derivative, namely an option on the composition of LIBOR rates. The formulae are based on Fourier transform methods for option pricing. We consider two models…

Machine learning models deployed in non-stationary environments are exposed to temporal distribution shift, which can erode predictive reliability over time. While common mitigation strategies such as periodic retraining and recalibration…

Within the likes of any highly contagious and unpredictable disease, lies a predictable and attainable growth rate that researchers can find in order to make logistical conclusions about that particular disease and its affected regions'…

The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are…

We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous…