Zobrazeno 1 - 10
of 30
pro vyhledávání: '"Kamm, Kevin"'
Autor:
Ewald, Christian-Oliver, Kamm, Kevin
This paper explores the impact of stochastic mortality and disease on animal-based commodities, with a specific emphasis on aquaculture, particularly in the context of salmon farming. The investigation delves into the stochastic nature of mortality a
Externí odkaz:
http://arxiv.org/abs/2402.08686
Autor:
Ewald, Christian Oliver, Kamm, Kevin
Publikováno v:
Quantitative Finance (2024)
We study the effect of stochastic feeding costs on animal-based commodities with particular focus on aquaculture. More specifically, we use soybean futures to infer on the stochastic behaviour of salmon feed, which we assume to follow a Schwartz-2-fa
Externí odkaz:
http://arxiv.org/abs/2309.02970
Autor:
Di Francesco, Marco, Kamm, Kevin
In this paper, we improve the performance of the large basket approximation developed by Reisinger et al. to calibrate Collateralized Debt Obligations (CDO) to iTraxx market data. The iTraxx tranches and index are computed using a basket of size $K=
Externí odkaz:
http://arxiv.org/abs/2212.12318
Autor:
Kamm, Kevin, Muniz, Michelle
In this paper, we model the rating process of an entity by using a geometrical approach. We model rating transitions as an SDE on a Lie group. Specifically, we focus on calibrating the model to both historical data (rating transition matrices) and ma
Externí odkaz:
http://arxiv.org/abs/2211.00326
Publikováno v:
Mathematics and Computers in Simulation 2023
In this paper, we show how the It\^o-stochastic Magnus expansion can be used to efficiently solve stochastic partial differential equations (SPDE) with two space variables numerically. To this end, we will first discretize the SPDE in space only by u
Externí odkaz:
http://arxiv.org/abs/2207.09776
Autor:
Kamm, Kevin
In this paper, we model the rating process of an entity as a piecewise homogeneous continuous time Markov chain. We focus specifically on calibrating the model to both historical data (rating transition matrices) and market data (CDS quotes), relying
Externí odkaz:
http://arxiv.org/abs/2207.03883
Autor:
Kamm, Kevin, Muniz, Michelle
In this paper, we introduce a novel methodology to model rating transitions with a stochastic process. To introduce stochastic processes, whose values are valid rating matrices, we noticed the geometric properties of stochastic matrices and its link
Externí odkaz:
http://arxiv.org/abs/2205.15699
Autor:
Di Francesco, Marco, Kamm, Kevin
In this paper, we propose a new exogenous model to address the problem of negative interest rates that preserves the analytical tractability of the original Cox-Ingersoll-Ross (CIR) model with a perfect fit to the observed term-structure. We use the
Externí odkaz:
http://arxiv.org/abs/2203.07458
Autor:
Di Francesco, Marco, Kamm, Kevin
In this paper, we propose a new model to address the problem of negative interest rates that preserves the analytical tractability of the original Cox-Ingersoll-Ross (CIR) model without introducing a shift to the market interest rates, because it is
Externí odkaz:
http://arxiv.org/abs/2106.03716
Publikováno v:
J Sci Comput 89, 56 (2021)
We derive the stochastic version of the Magnus expansion for linear systems of stochastic differential equations (SDEs). The main novelty with respect to the related literature is that we consider SDEs in the It\^o sense, with progressively measurabl
Externí odkaz:
http://arxiv.org/abs/2001.01098