The main contribution of the paper is proving that the Fourier spot volatility estimator introduced in [Malliavin and Mancino, 2002] is consistent and asymptotically efficient if the price process is contaminated by microstructure noise. Specifically, in the presence of additive microstructure...

Bitcoin (BTC) has attracted a plethora of investors and professional traders and becomes an almost inevitable asset class in today's financial markets. Deribit, the largest exchange for crypto options, offers European-typed inverse options, which target to BTC in USD but have payoff denominated...

The so-called distribution mapping is a technique, commonly used by practitioners in fixed-income, that allows to tweak model 1D-dis\-tri\-bu\-tions into market $1$D-distributions. This technique is intended to overcome the shortcomings of standard fixed-income diffusion models which do not...

In their daily reserving tasks, general insurance actuaries often use a mix of chain-ladder, Bornhuetter-Ferguson and Cape-Cod methods to estimate the ultimate reserve amounts. These methods are usually applied on cumulative triangles and a payment or incurred pattern is derived from the...

We investigate the impact of credit spreads on the stochastic duration and convexity of corporate bonds with respect to the same metrics for equivalent Treasury bonds. We show that the credit spread has two interacting effects on both the duration and the convexity of a corporate coupon bond as...

Mean reversion, stochastic volatility, convenience yield and presence of jump clustering are well documented salient features of commodity markets, where Asian options are very popular. We propose a model which takes into account all these stylized features. We first state our model under the...

This paper investigates whether and when fractional degree stochastic dominance rules can inherit the invariance properties of integer-degree stochastic dominance. Within a general formulation, we first show that it is impossible for fractional degree stochastic dominance to obey all the six...

In this work investigate the use of stochastic hybrid models, statistical model checking and machine learning to analyze, predict and control the rapid spreading of Covid-19. During the pandemic numerous studies using stochastic models have been produced. Most of these studies are used to...