相关论文: Smile Asymptotics II: Models with Known Moment Gen…

Accurately quantifying tail risks-rare but high-impact events such as financial crashes or extreme weather-is a central challenge in risk management, with serially dependent data. We develop a Bayesian framework based on the Generalized…

We propose a new static parameterization of the implied volatility surface which is constructed by using polynomials of sigmoid functions combined with some other terms. This parameterization is flexible enough to fit market implied…

In this paper we derive the asymptotic behaviour of the survival function of both random sum and random maximum of log-normal risks. As for the case of finite sum and maximum investigated in Asmussen and Rojas-Nandaypa (2008) also for the…

We provide the exact large-time behavior of the tail distribution of the extinction time of a self-similar fragmentation process with a negative index of self-similarity, improving thus a previous result on the logarithmic asymptotic…

Let $X_{1},\ldots ,X_{n}$ be $n$ real-valued dependent random variables. With motivation from Mitra and Resnick (2009), we derive the tail asymptotic expansion for the weighted sum of order statistics $X_{1:n}\leq \cdots \leq X_{n:n}$ of…

Power-law tail behavior and the summation scheme of Levy-stable distributions is the basis for their frequent use as models when fat tails above a Gaussian distribution are observed. However, recent studies suggest that financial asset…

In the paper, we investigate the asymptotic behaviors of the randomly weighted sums with upper tail asymptotically independent increments under new conditions without requiring moment assumptions on random weights.An application of the…

The paper studies estimation of parameters of diffusion market models from historical data. The standard definition of implied volatility for these models presents its value as an implicit function of several parameters, including the…

We consider implied volatilities in asset pricing models, where the discounted underlying is a strict local martingale under the pricing measure. Our main result gives an asymptotic expansion of the right wing of the implied volatility…

We study the tail asymptotics of two functionals (the maximum and the sum of the marks) of a generic cluster in two sub-models of the marked Poisson cluster process, namely the renewal Poisson cluster process and the Hawkes process. Under…

We introduce a multi-factor stochastic volatility model based on the CIR/Heston volatility process that incorporates seasonality and the Samuelson effect. First, we give conditions on the seasonal term under which the corresponding…

We develop at-the-money call-price and implied volatility asymptotic expansions in time to maturity for a class of asset-price models whose log returns follow a L\'evy process. Under mild assumptions placing the driving L\'evy process in…

We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations, where the jump process can be any purely non-Gaussian L\'evy process of not necessarily…

We study the large-time asymptotic of renewal-reward processes with a heavy-tailed waiting time distribution. It is known that the heavy tail of the distribution produces an extremely slow dynamics, resulting in a singular large deviation…

Models such as those involving abrupt changes in the Earth's reflectivity due to ice melt and formation often use nonlinear terms (e.g., hyperbolic tangent) to model the transition between two states. For various reasons, these models are…

The risk of catastrophes is related to the possibility of occurring extreme values. Several statistical methodologies have been developed in order to evaluate the propensity of a process for the occurrence of high values and the permanence…

We obtain an asymptotic normality result that reveals the precise asymptotic behavior of the maximum likelihood estimators of parameters for a very general class of linear mixed models containing cross random effects. In achieving the…

In this paper we study the short-time behavior of the at-the-money implied volatility for arithmetic Asian options with fixed strike price. The asset price is assumed to follow the Black-Scholes model with a general stochastic volatility…

We study the asymptotic behavior of distribution densities arising in stock price models with stochastic volatility. The main objects of our interest in the present paper are the density of time averages of the squared volatility process…

A network belongs to the monotone separable class if its state variables are homogeneous and monotone functions of the epochs of the arrival process. This framework contains several classical queueing network models, including generalized…