A natural experiment of the Chinese credit system with financial crisis and...
Examining the topological properties of networks formed by such guarantee relationships is critical for an in-depth understanding and effective regulations of the financial system. In this research, we...
View ArticleWeak existence and uniqueness for affine stochastic Volterra equations with...
We provide existence, uniqueness and stability results for affine stochastic Volterra equations with $L^1$-kernels. Such equations arise as scaling limits of branching processes in population genetics...
View ArticlePredicting intraday jumps in stock prices using liquidity measures and...
Predicting the intraday stock jumps is a significant but challenging problem in finance. Due to the instantaneity and imperceptibility characteristics of intraday stock jumps, relevant studies on their...
View ArticleAn Economical Business-Cycle Model. (arXiv:1912.07163v1 [econ.TH])
In recent decades, in developed economies, slack on the product and labor markets has fluctuated a lot over the business cycle, while inflation has been very stable. At the same time, these economies...
View ArticleEU Economic Modelling System. (arXiv:1912.07115v1 [econ.GN])
This is the first study that attempts to assess the regional economic impacts of the European Institute of Innovation and Technology (EIT) investments in a spatially explicit macroeconomic model, which...
View ArticleGauge transformations in the dual space, and pricing and estimation in the...
We suggest a simple reduction of pricing European options in affine jump-diffusion models to pricing options with modified payoffs in diffusion models. The procedure is based on the conjugation of the...
View ArticleSet-Valued Risk Measures as Backward Stochastic Difference Inclusions and...
Scalar dynamic risk measures in continuous time are commonly represented as backward stochastic differential equations. There are two possible extensions for scalar backward stochastic differential...
View ArticleOperator splitting schemes for American options under the two-asset Merton...
This paper deals with the efficient numerical solution of the two-dimensional partial integro-differential complementarity problem (PIDCP) that holds for the value of American-style options under the...
View ArticleRobustness and sensitivity analyses for stochastic volatility models under...
In this paper we perform robustness and sensitivity analysis of several continuous-time stochastic volatility (SV) models with respect to the process of market calibration. The analyses should validate...
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Che Guevara’s Cuba and John Cowperthwaite’s Hong Kong: a...
In 1960, Cuba and Hong Kong had a similar level of GDP per capita at around $4,500 in today’s money[1]. By 2018 Cuba’s GDP per capita had risen to around $9,000. By contrast, Hong Kong had reached...
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