Results 31 to 40 of about 129 (88)
Applied Stochastic Models in Business and Industry, Volume 42, Issue 3, May/June 2026.ABSTRACT Traditional short‐rate models introduce volatility directly into the instantaneous rate via Brownian shocks. However, empirical data suggest that short‐term interest rates exhibit smoother behavior than such models imply. We propose a two‐factor Gaussian short‐rate model in which the short rate is a deterministic exponential filter of a ...
Allan Jonathan da Silva
wiley +1 more source
Dynamic Debt With Intensity‐Based Models
Journal of Futures Markets, Volume 46, Issue 2, Page 334-352, February 2026.ABSTRACT This article proposes a dynamic debt model where the face value of debt can change. In particular, our dynamic debt setting allows debt changes ruled by intensity processes that are linked to the firm value through the correlation between the stochastic processes. Analytical solutions are obtained, and we extend the proposed dynamic debt model
João Miguel Reis, José Carlos Dias
wiley +1 more source
Dynamically Consistent Analysis of Realized Covariations in Term Structure Models
Mathematical Finance, Volume 36, Issue 1, Page 203-236, January 2026.ABSTRACT In this article, we show how to analyze the covariation of bond prices nonparametrically and robustly, staying consistent with a general no‐arbitrage setting. This is, in particular, motivated by the problem of identifying the number of statistically relevant factors in the bond market under minimal conditions.
Dennis Schroers
wiley +1 more source
Recursive algorithm for transition density approximation and simulation of diffusion processes
Statistica Neerlandica, Volume 79, Issue 4, November 2025.ABSTRACT Diffusion processes and more generally, stochastic differential equations (SDEs), are widely used to model natural and financial systems. However, accurately simulating them remains challenging due to the limitations of discretization methods. We propose a recursive algorithm to approximate the transition density of scalar diffusion processes ...
Samir Ben‐Hariz +2 more
wiley +1 more source
New Quantile Regression Model for Unit Interval Regressands
Engineering Reports, Volume 7, Issue 10, October 2025.The study developed a quantile regression model whose probability density function (PDF) is shown below. The reparameterized PDF plot for some selected parameter and quantile values depicts shapes such as approximately symmetric, increasing, decreasing, right‐skewed, and left‐skewed.
Robert Adombire Akumbobe +2 more
wiley +1 more source
A fractional credit model with long range dependent hazard rate
, 2013 Motivated by empirical evidence of long range dependence in macroeconomic variables like interest rates, domestic gross products or supply and demand rates, we propose a fractional Brownian motion (fBm) driven model to describe the dynamics of the short ...
Biagini, F., Fink, H., and Klüppelberg, C.
core +1 more source
Deep learning the Hurst parameter of linear fractional processes and assessing its reliability
Quality and Reliability Engineering International, Volume 40, Issue 8, Page 4228-4246, December 2024.Abstract This research explores the reliability of deep learning, specifically Long Short‐Term Memory (LSTM) networks, for estimating the Hurst parameter in fractional stochastic processes. The study focuses on three types of processes: fractional Brownian motion (fBm), fractional Ornstein–Uhlenbeck (fOU) process, and linear fractional stable motions ...
Dániel Boros +5 more
wiley +1 more source
Bonds versus Equities: Information for Investment
The Journal of Finance, Volume 79, Issue 6, Page 3893-3941, December 2024.ABSTRACT We provide a simple model of investment by a firm funded with debt and equity and empirical evidence to demonstrate that, once we control for the debt overhang problem with credit spreads, asset volatility is an unambiguously positive signal for investment, while equity volatility sends a mixed signal: Elevated volatility raises the option ...
HUIFENG CHANG +2 more
wiley +1 more source
Conditional characteristic functions of processes related to fractional Brownian motion
, 2013 Fractional Brownian motion (fBm) can be introduced by a moving average representation driven by standard Brownian motion, which is an affine Markov process. Motivated by this we aim at results analogous to those achieved in recent years for affine models.
Fink, H., Klüppelberg, C., and Zähle, M.
core +1 more source
Option pricing under multifractional Brownian motion in a risk neutral framework
, 2020 In this paper, we introduce a new method to compute the European Call Option price (ct) under multi-fractional Brownian motion (mBm) with deterministic Hurst function. We build a mathematical framework using a Lebovits et al.
Di Sciorio, Fabrizio
core +1 more source