In this paper, we consider the unique nonnegative solution to the following generalized version of the stochastic differential equation for a continuous-state branching process: X t =x+ ∫ 0 t γ 0 ( X ...

This course is available on the MSc in Financial Mathematics, MSc in Risk and Stochastics, MSc in Statistics, MSc in Statistics (Financial Statistics) and MSc in Statistics (Research). This course is ...

Stochastic processes provide a probabilistic framework to model the time-evolving uncertainty intrinsic to financial markets. By characterising random movements such as asset prices, interest rates ...

Affine processes provide a versatile framework for modelling complex financial phenomena, ranging from interest rate dynamics to credit risk and beyond. Their defining characteristic is the affine, or ...

This is a preview. Log in through your library . Abstract In this paper we discuss a counter system whose output is a stochastic point process such that the time intervals between pairs of successive ...

This course is available on the MSc in Financial Mathematics, MSc in Quantitative Methods for Risk Management, MSc in Statistics, MSc in Statistics (Financial Statistics), MSc in Statistics (Financial ...