Results 41 to 50 of about 14,774,356 (95)

Robust Bernoulli Mixture Models for Credit Portfolio Risk

Mathematical Finance, Volume 36, Issue 3, Page 528-543, July 2026.
ABSTRACT This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing in a common risk factor. We provide simple and interpretable conditions on conditional default probabilities that imply a comparison ...
Jonathan Ansari, Eva Lütkebohmert
wiley   +1 more source

METODE BENEFIT PRORATE CONSTANT DOLLAR UNTUK PENGHITUNGAN DANA PENSIUN MENGGUNAKAN SUKU BUNGA MODEL VASICEK [PDF]

, 2018
Abstrak Artikel ini membahas tentang perhitungan iuran normal dan kewajiban aktuaria dana pensiun dengan metode Benefit Prorate Constant Dollar menggunakan tingkat bunga model Vasicek.
Rosita Kusumawati, Sisca Cahyani ,
core   +1 more source

A Short‐Rate Model With Stochastic Long‐Term Mean and Volterra‐Type Memory: Risk Implications for Bonds and Option Pricing

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

SMALL NOISE EXPANSION FOR THE LÉVY PERTURBED VASICEK MODEL [PDF]

, 2015
We present rigorous small noise expansion results for a Lévy perturbed Vasicek model.
DI PERSIO, Luca, Francesco Cordoni
core   +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

Least Squares Estimator for Vasicek Model Driven by Sub-fractional Brownian Processes from Discrete Observations

, 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, Guo, Jingjun, Ma, Aiqin, Peng, Bo   +3 more
openaire   +2 more sources

Continuous‐Time Mean‐Variance Portfolio Optimization Under Proportional Borrowing Constraints, Stochastic Interest Rates, and Regime Switching

International Journal of Mathematics and Mathematical Sciences, Volume 2026, Issue 1, 2026.
This paper studies a continuous‐time target‐return mean‐variance portfolio problem with proportional borrowing constraints, stochastic short rates, and finite‐state regime switching. To preserve the economic meaning of a wealth‐proportional borrowing limit, the main constrained formulation uses a solvency‐preserving long‐only set, while a net‐exposure ...
Herbert Mukalazi, Shikha Binwal
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

On the Analysis of Variance Generalized Extropy Measure With Application to Engineering Data in Saudi Arabia

Journal of Mathematics, Volume 2026, Issue 1, 2026.
Measures of uncertainty such as entropy, extropy, varentropy, and varextropy play a fundamental role in statistical modeling and information analysis of probability distributions. In this article, we present and examine the variance of generalized extropy, providing a detailed investigation of its mathematical structure and theoretical characteristics.
Mohamed Said Mohamed, Hanan H. Sakr, Smritijit Sen   +2 more
wiley   +1 more source