Modern trams usually own passive transit signal priority (TSP) to avoid interruption from traffic signals along the route. The key to TSP depends on the strictly stick to the recommend travel time between intersections. However, the effectiveness of the TSP can be weakened by dwell time...

In the current reform of interest rate benchmarks, a central role is played by risk-free rates (RFRs), such as SOFR (secured overnight financing rate) in the US. A key feature of RFRs is the presence of jumps and spikes at periodic time intervals as a result of regulatory and liquidity...

In many applications of network analysis, it is important to distinguish between observed and unobserved factors affecting network structure. We show that a network model with discrete unobserved link heterogeneity and binary (or discrete) covariates corresponds to a stochastic blockmodel (SBM)....

We develop a stochastic volatility framework for modeling multiple currencies based on CBI-time-changed L\'evy processes. The proposed framework captures the typical risk characteristics of FX markets and is coherent with the symmetries of FX rates. Moreover, due to the self-exciting behavior of...

This paper proposes a Skewed Stochastic Volatility (SSV) model to model time varying, asymmetric forecast distributions to estimate Growth at Risk as introduced in Adrian et al. (2019) seminal paper "Vulnerable Growth". In contrary to their semi-parametric approach, the SSV model enables...

If a high degree of accuracy and market consistency is required for option pricing, stochastic local volatility models are often the approach of choice. When calibrating these types of models, one of the major challenges lies in the proper fitting of the leverage function. This often requires...

We consider dynamic assortment optimization with incomplete information under the uncapacitated multinomial logit choice model. We propose an anytime stochastic approximation policy and prove that the regret - the cumulative expected revenue loss caused by offering suboptimal assortments - after...

We consider a dividend optimization problem of de Finetti over an admissible class with restricted dividend rates. The risk process under consideration here evolves as a diffusion with negative exponential jumps modulated by an independent Markov chain. We devote to prove that the...

In this study, we propose a stochastic choice model to identify the motivations of prosocial behavior. We focus on the role of inequity aversion in outcome-based preferences and the shame of acting selfishly in social concerns. We employ an additively perturbed utility model to social...

This paper investigates whether it is possible to entertain simultaneously two attractive views about US GDP. The first is that long term growth in US GDP is attributable to an empirically plausible specification of random technical progress. The second is that deviations of GDP from a fitted...