Zobrazeno 1 - 10
of 99
pro vyhledávání: '"Macrina, Andrea"'
Autor:
Kassis, Georges, Macrina, Andrea
Arcade processes are a class of continuous stochastic processes that interpolate in a strong sense, i.e., omega by omega, between zeros at fixed pre-specified times. Their additive randomization allows one to match any finite sequence of target rando
Externí odkaz:
http://arxiv.org/abs/2301.05936
Alignment of financial market incentives and carbon emissions disincentives is key to limiting global warming. Regulators and standards bodies have made a start by requiring some carbon-related disclosures and proposing others. Here we go further and
Externí odkaz:
http://arxiv.org/abs/2202.07689
We develop a novel stochastic valuation and premium calculation principle based on probability measure distortions that are induced by quantile processes in continuous time. Necessary and sufficient conditions are derived under which the quantile pro
Externí odkaz:
http://arxiv.org/abs/2201.02045
Sustainability is a key point for financial markets and the label "Green" is an attempt to address this. Acquisition of the label "Green" for financial products carries potential benefits, hence the controversy and attractiveness of the label. Howeve
Externí odkaz:
http://arxiv.org/abs/2112.04181
We explicitly construct so-called captive jump processes. These are stochastic processes in continuous time, whose dynamics are confined by a time-inhomogeneous bounded domain. The drift and volatility of the captive processes depend on the domain's
Externí odkaz:
http://arxiv.org/abs/2111.07135
Publikováno v:
In Communications in Nonlinear Science and Numerical Simulation January 2024 128
We develop a novel approach for the construction of quantile processes governing the stochastic dynamics of quantiles in continuous time. Two classes of quantile diffusions are identified: the first, which we largely focus on, features a dynamic rand
Externí odkaz:
http://arxiv.org/abs/1912.10866
We investigate the joint distribution and the multivariate survival functions for the maxima of an Ornstein-Uhlenbeck (OU) process in consecutive time-intervals. A PDE method, alongside an eigenfunction expansion, is adopted with which we first calcu
Externí odkaz:
http://arxiv.org/abs/1902.05282
We construct models for the pricing and risk management of inflation-linked derivatives. The models are rational in the sense that linear payoffs written on the consumer price index have prices that are rational functions of the state variables. The
Externí odkaz:
http://arxiv.org/abs/1801.08804
Autor:
Macrina, Andrea, Mahomed, Obeid
The general problem of asset pricing when the discount rate differs from the rate at which an asset's cash flows accrue is considered. A pricing kernel framework is used to model an economy that is segmented into distinct markets, each identified by
Externí odkaz:
http://arxiv.org/abs/1801.04994