In the present paper, we study both the approximation of a continuous-time model by a sequence of discrete-time price models driven by semimargingales with credit risk, and the convergence of these price processes (in terms of the triplets) under a framework that allows the practitioner a...

This paper considers the asymptotic distribution of the covariance of a nonstationary fractionally integrated process with the stationary increments of another such process - possibly, itself. Questions of interest include the relationship between the harmonic representation of these random...

When using an Euler discretisation to simulate a mean-reverting square root process, one runs into the problem that while the process itself is guaranteed to be nonnegative, the discretisation is not. Although an exact and efficient simulation algorithm exists for this process, at present this...

We study two models of population with migration. On an island lives an individual whose genealogy is given by a critical Galton–Watson tree. If its offspring ends up consuming all the resources, any newborn child has to migrate to find new resources. In this sense, the migrations are...

A duality for robust hedging with proportional transaction costs of path-dependent European options is obtained in a discrete-time financial market with one risky asset. The investor’s portfolio consists of a dynamically traded stock and a static position in vanilla options, which can be...

We consider a large declining population of cells under an external selection pressure, modeled as a subcritical branching process. This population has genetic variation introduced at a low rate which leads to the production of exponentially expanding mutant populations, enabling population...

We propose a new sequential procedure to detect change in the parameters of a process X=(Xt)t∈Z belonging to a large class of causal models (such as AR(∞), ARCH(∞), TARCH(∞), or ARMA–GARCH processes). The procedure is based on a difference between the historical parameter estimator and...