相关论文: Modeling Excess Mortality and Interest Rates using…

Fractional stochastic volatility models have been widely used to capture the non-Markovian structure revealed from financial time series of realized volatility. On the other hand, empirical studies have identified scales in stock price…

We explore credit risk pricing by modeling equity as a call option and debt as the difference between the firm's asset value and a put option, following the structural framework of the Merton model. Our approach proceeds in two stages:…

This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a num\'eraire. It is shown that the presence of arbitrarily small…

This paper investigates ruin probabilities for a two-dimensional fractional Brownian risk model with a proportional reinsurance scheme. We focus on joint and simultaneous ruin probabilities in a finite-time horizon. The risk processes of…

In this paper, we are concerned with the valuation of Guaranteed Annuity Options (GAOs) under the most generalised modelling framework where both interest and mortality rates are stochastic and correlated. Pricing these type of options in…

Competing risk models are survival models with several events of interest acting in competition and whose occurrence is only observed for the event that occurs first in time. This paper presents a Bayesian approach to these models in which…

We construct a binary market model with memory that approximates a continuous-time market model driven by a Gaussian process equivalent to Brownian motion. We give a sufficient conditions for the binary market to be arbitrage-free. In a…

In the context of time-subordinated Brownian motion models, Fourier theory and methodology are proposed to modelling the stochastic distribution of time increments. Gaussian Variance-Mean mixtures and time-subordinated models are reviewed…

The non-gaussianity of processes observed in financial markets and relatively good performance of gaussian models can be reconciled by replacing the Brownian motion with Levy processes whose Levy densities decay as exp(-lambda|x|) or…

We introduce a flexible parametric mixed effects model for correlated binary data, with parameters that can be directly interpreted as marginal odds ratios. This leads to a robust estimation equation with an optimal weighting matrix being…

In this paper we derive novel change of variable formulas for stochastic integrals w.r.t. a time-changed Brownian motion where we assume that the time-change is a general increasing stochastic process with finitely many jumps in a bounded…

We propose a comprehensive Bayesian joint modeling framework for zero-inflated longitudinal count data and time-to-event outcomes, explicitly incorporating a cure fraction to account for subjects who never experience the event. The…

We propose a mathematical model of momentum risk-taking, which is essentially real-time risk management focused on short-term volatility of stock markets. Its implementation, our fully automated momentum equity trading system presented…

The aim of this paper is to compare two asset allocation methods for a pension scheme during the decumulation phase in the simplified portfolio selection between a risky asset following a geometric Brownian motion and a riskless asset. The…

Recent empirical studies suggest that the volatilities associated with financial time series exhibit short-range correlations. This entails that the volatility process is very rough and its autocorrelation exhibits sharp decay at the…

Non-stationary extremal dependence, whereby the relationship between the extremes of multiple variables evolves over time, is commonly observed in many environmental and financial data sets. However, most multivariate extreme value models…

Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process. Our main result is that log-volatility behaves essentially as a fractional Brownian motion with Hurst exponent H of…

The improvement of mortality projection is a pivotal topic in the diverse branches related to insurance, demography, and public policy. Motivated by the thread of Lee-Carter related models, we propose a Bayesian model to estimate and…

An efficient conditioning technique, the so-called Brownian Bridge simulation, has previously been applied to eliminate pricing bias that arises in applications of the standard discrete-time Monte Carlo method to evaluate options written on…

This study proposes a linear-rational joint survival mortality model based on the Wishart process. The Wishart process, which is a stochastic continuous matrix affine process, allows for a general dependency between the mortality…