A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Study on Volterra Cox-Ingersoll-Ross process, proving asymptotic independence and ergodicity.
Defines a new process for financial modeling.
We study convergence properties of the full truncation Euler scheme for the Cox-Ingersoll-Ross process in the regime where the boundary point zero is inaccessible. Under some conditions on the model parameters (precisely, when the Feller ratio is greater than three), we establish the strong order 1/2 convergence in $L^…
New high-order approximations for CIR process using random grids.
We analyze exponential integrability properties of the Cox-Ingersoll-Ross (CIR) process and its Euler discretizations with various types of truncation and reflection at 0. These properties play a key role in establishing the finiteness of moments and the strong convergence of numerical approximations for a class of sto…
A new adaptive splitting method improves accuracy for Cox-Ingersoll-Ross model.
New financial price model using earning yield derived from CIR process.
A new method for automatic gradient tree boosting using information theory.
Study on non-negative solutions for stochastic Volterra equations with jumps.
Two methods improve simulation of European call options under Heston model.
Model predicts Bitcoin prices influenced by market attention.
Directly simulates squared Bessel processes efficiently.
We consider an economic agent (a household or an insurance company) modelling its surplus process by a deterministic process or by a Brownian motion with drift. The goal is to maximise the expected discounted spendings/dividend payments, given that the discounting factor is given by an exponential CIR process. In the d…
In this paper, we derive the price of a European call option of an asset following a normal process assuming stochastic volatility. The volatility is assumed to follow the Cox Ingersoll Ross (CIR) process. We then use the fast Fourier transform (FFT) to evaluate the option price given we know the characteristic functio…
This paper studies the critical dynamics of random surfaces, focusing on area and genus evolution.
We study the Heston-Cox-Ingersoll-Ross++ stochastic-local volatility model in the context of foreign exchange markets and propose a Monte Carlo simulation scheme which combines the full truncation Euler scheme for the stochastic volatility component and the stochastic domestic and foreign short interest rates with the …
The article is devoted to models of financial markets with stochastic volatility, which is defined by a functional of Ornstein-Uhlenbeck process or Cox-Ingersoll-Ross process. We study the question of exact price of European option. The form of the density function of the random variable, which expresses the average of…
Improved MLMC method for barrier options with non-Lipschitz coefficients.
We consider a stable Cox--Ingersoll--Ross process driven by a standard Wiener process and a spectrally positive strictly stable Lévy process, and we study asymptotic properties of the maximum likelihood estimator (MLE) for its growth rate based on continuous time observations. We distinguish three cases: subcritical, c…
The paper improves parameter estimation for interest rate models using the CIR and CKLS frameworks.
This paper analyzes the problem of starting and stopping a Cox-Ingersoll-Ross (CIR) process with fixed costs. In addition, we also study a related optimal switching problem that involves an infinite sequence of starts and stops. We establish the conditions under which the starting-stopping and switching problems admit …
In this we paper we recast the Cox--Ingersoll--Ross model of interest rates into the chaotic representation recently introduced by Hughston and Rafailidis. Beginning with the ``squared Gaussian representation'' of the CIR model, we find a simple expression for the fundamental random variable X. By use of techniques fro…
We investigate the asymptotic behavior as time goes to infinity of Hawkes processes whose regression kernel has norm close to one and power law tail of the form , with . We in particular prove that when , after suitable rescaling, their law converges to that of a kind of integr…
We propose a simple model of the banking system incorporating a game feature where the evolution of monetary reserve is modeled as a system of coupled Feller diffusions. The Markov Nash equilibrium generated through minimizing the linear quadratic cost subject to Cox-Ingersoll-Ross type processes creates liquidity and …
In common finance literature, Black-Scholes partial differential equation of option pricing is usually derived with no-arbitrage principle. Considering an asset market, Merton applied the Hamilton-Jacobi-Bellman techniques of his continuous-time consumption-portfolio problem, deriving general equilibrium relationships …
Proposes a new model to handle negative interest rates using CIR framework.
This paper examines the problem of pricing spread options under some models with jumps driven by Compound Poisson Processes and stochastic volatilities in the form of Cox-Ingersoll-Ross(CIR) processes. We derive the characteristic function for two market models featuring joint normally distributed jumps, stochastic vol…
In this paper, we empirically study models for pricing Italian sovereign bonds under a reduced form framework, by assuming different dynamics for the short-rate process. We analyze classical Cox-Ingersoll-Ross and Vasicek multi-factor models, with a focus on optimization algorithms applied in the calibration exercise. …
This paper focuses on the pricing of the variance swap in an incomplete market where the stochastic interest rate and the price of the stock are respectively driven by Cox-Ingersoll-Ross model and Heston model with simultaneous Lévy jumps. By using the equilibrium framework, we obtain the pricing kernel and the equival…
We develop a one-dimensional notion of affine processes under parameter uncertainty, which we call non-linear affine processes. This is done as follows: given a set of parameters for the process, we construct a corresponding non-linear expectation on the path space of continuous processes. By a general dynamic programm…
In this paper we are interested in term structure models for pricing zero coupon bonds under rapidly oscillating stochastic volatility. We analyze solutions to the generalized Cox-Ingersoll-Ross two factors model describing clustering of interest rate volatilities. The main goal is to derive an asymptotic expansion of …
Because of their tractability and their natural interpretations in term of market quantities, Hawkes processes are nowadays widely used in high-frequency finance. However, in practice, the statistical estimation results seem to show that very often, only nearly unstable Hawkes processes are able to fit the data properl…
We consider the approximation of stochastic differential equations (SDEs) with non-Lipschitz drift or diffusion coefficients. We present a modified explicit Euler-Maruyama discretisation scheme that allows us to prove strong convergence, with a rate. Under some regularity and integrability conditions, we obtain the opt…
Extended CIR process with jumps at fixed dates for modeling overnight rates.
We consider a jump-type Cox--Ingersoll--Ross (CIR) process driven by a standard Wiener process and a subordinator, and we study asymptotic properties of the maximum likelihood estimator (MLE) for its growth rate. We distinguish three cases: subcritical, critical and supercritical. In the subcritical case we prove weak …
We determine an explicit formula for the Laplace transform of the price of an option on a maximal interest rate when the instantaneous rate satisfies Cox-Ingersoll-Ross's model. This generalizes considerably one result of Leblanc-Scaillet.
This work extends Tweedie's formulae to non-Gaussian processes for better diffusion model generation.
Stochastic gradient Markov chain Monte Carlo (SGMCMC) has become a popular method for scalable Bayesian inference. These methods are based on sampling a discrete-time approximation to a continuous time process, such as the Langevin diffusion. When applied to distributions defined on a constrained space the time-discret…
The analytical tractability of affine (short rate) models, such as the Vasicek and the Cox-Ingersoll-Ross models, has made them a popular choice for modelling the dynamics of interest rates. However, in order to account properly for the dynamics of real data, these models need to exhibit time-dependent or even stochast…
Study applies financial models to predict COVID-19 pandemic.
We consider the intensity-based approach for the modeling of default times of one or more companies. In this approach the default times are defined as the jump times of a Cox process, which is a Poisson process conditional on the realization of its intensity. We assume that the intensity follows the Cox-Ingersoll-Ross …
Optimal buying and selling times for homes in fluctuating interest rates.
This paper extends subordinated models to include stochastic time changes, improving financial modeling.
Quantum algorithms speed up derivative pricing beyond Black-Scholes models.
We demonstrate the effectiveness of an adaptive explicit Euler method for the approximate solution of the Cox-Ingersoll-Ross model. This relies on a class of path-bounded timestepping strategies which work by reducing the stepsize as solutions approach a neighbourhood of zero. The method is hybrid in the sense that a c…
The transition probability of a Cox-Ingersoll-Ross process can be represented by a non-central chi-square density. First we prove a new representation for the central chi-square density based on sums of powers of generalized Gaussian random variables. Second we prove Marsaglia's polar method extends to this distributio…
We consider a class of stochastic path-dependent volatility models where the stochastic volatility, whose square follows the Cox-Ingersoll-Ross model, is multiplied by a (leverage) function of the spot price, its running maximum, and time. We propose a Monte Carlo simulation scheme which combines a log-Euler scheme for…
We study the optimal timing strategies for trading a mean-reverting price process with afinite deadline to enter and a separate finite deadline to exit the market. The price process is modeled by a diffusion with an affine drift that encapsulates a number of well-known models,including the Ornstein-Uhlenbeck (OU) model…