Results 41 to 50 of about 775 (103)
Characteristic Function of Time-Inhomogeneous L\'evy-Driven Ornstein-Uhlenbeck Processes
, 2016 Distributional properties -including Laplace transforms- of integrals of Markov processes received a lot of attention in the literature. In this paper, we complete existing results in several ways.
Vrins, Frédéric
core +1 more source
, 2020 We study the parameter estimation problem of Vasicek Model driven by sub-fractional Brownian processes from discrete observations, and let {S_t^H,t>=0} denote a sub-fractional Brownian motion whose Hurst parameter 1 ...
Zhang, Cuiyun +3 more
openaire +2 more sources
Hydrocarbon‐derived thrombolites from the Outer Carpathians (Lower Cretaceous, Poland)
Sedimentology, Volume 71, Issue 7, Page 2183-2209, December 2024.Abstract Shallow marine thrombolites from a newly discovered Lower Cretaceous cold seep in the Outer Carpathians (Poland) were analysed in order to untangle the complex sedimentological and biogeochemical processes involved in their formation and their diagenetic modifications.
Stefano Giunti +6 more
wiley +1 more source
US and Canadian term structures of interest rates: A forecasting comparison [PDF]
, 2016 This paper provides empirical evidence for the US and Canadian yield curves using a one- and two-factor Generalised Vasicek model, using a data set comprised of daily panel data over the period between 2003 and 2011, which includes the recent global ...
Juneja, J.A. +7 more
core
Integration by parts formula for locally smooth laws and applications to sensitivity computations
, 2007 We consider random variables of the form $F=f(V_1,...,V_n)$, where $f$ is a smooth function and $V_i,i\in\mathbb{N}$, are random variables with absolutely continuous law $p_i(y) dy$.
Bally, Vlad +2 more
core +2 more sources
Firm‐level exposure to trade policy shocks: A multidimensional measurement approach
European Financial Management, Volume 30, Issue 4, Page 2135-2163, September 2024.Abstract We propose a firm‐level measure of exposure to trade policy shifts that combines characteristics (tradability of goods, share of output exported and corporate risk disclosures) with information from stock returns. We show that the measure reliably captures out‐of‐sample differences in price responses and sentiment related to trade tensions ...
Giovanni Bruno, Felix Goltz, Ben Luyten
wiley +1 more source
Pathwise stability of likelihood estimators for diffusions via rough paths
, 2016 We consider the classical estimation problem of an unknown drift parameter within classes of nondegenerate diffusion processes. Using rough path theory (in the sense of T.
Diehl, Joscha, Friz, Peter, Mai, Hilmar
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Numerical Methods for Partial Differential Equations, Volume 40, Issue 3, May 2024.Abstract We develop an efficient pricing approach for guaranteed minimum withdrawal benefits (GMWBs) with continuous withdrawals under a realistic modeling setting with jump‐diffusions and stochastic interest rate. Utilizing an impulse stochastic control framework, we formulate the no‐arbitrage GMWB pricing problem as a time‐dependent Hamilton‐Jacobi ...
Yaowen Lu, Duy‐Minh Dang
wiley +1 more source
International Journal of Finance &Economics, Volume 29, Issue 2, Page 1877-1895, April 2024.Abstract This paper defines a variety of game theoretic solution concepts in the language of soft set theory. We begin by defining the Nash equilibrium in pure strategies. We assume that the gains of the players are totally ordered and non‐desirable alternatives are absent. Moreover, we introduce the notions of strong and semi‐strong utility. These two
Iraklis Kollias +2 more
wiley +1 more source
How Integrated are Credit and Equity Markets? Evidence from Index Options
The Journal of Finance, Volume 79, Issue 2, Page 949-992, April 2024.ABSTRACT We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit‐risk model with stochastic volatility and jumps using new results for pricing compound options via multivariate affine transform analysis. The
PIERRE COLLIN‐DUFRESNE +2 more
wiley +1 more source