Focal Interest
Focal Interest

Stochastic processes and financial applications

External reference: https://openalex.org/T10067

  1. Integrated ACD models can imply infinite-mean durations
    Asymptotic theory for integrated autoregressive conditional duration models reveals infinite-mean trading intervals in cryptocurrency ETFs, requiring new inference methods.
  2. Analytic GMIB valuation was faster than Monte Carlo simulation
    Framework for valuing guaranteed minimum income benefits in variable annuities using numéraire transformation; achieves 99% computational time reduction versus Monte Carlo simulation.
  3. Unweighted HJM setting supports yield-curve modeling with negative yields
    New approach to Heath–Jarrow–Morton framework using unweighted function spaces and functional PCA, enabling better yield curve modeling with support for negative interest rates.
  4. Spline-based score-driven models allow flexible time-varying parameters
    Score-driven time-varying parameter model using spline-based densities without parametric assumptions, with applications to inflation and volatility filtering.
  5. Correlated regime-switching raises guaranteed annuity option prices
    Learn how regime-switching models and correlated risks improve guaranteed annuity option valuation, providing insurers with accurate pricing and enhanced risk management frameworks.