We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors. The price of a CDS option can be uniformly approximated by...

We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log returns admits a Gram-Charlier A expansion with closed-form...

In this paper, authors present some considerations regarding the use of non-linear regression functions in the statistical analysis of economical phenomenon. The article includes the description of necessary steps for the determination of model parameters and the interpretation of the factorial...

By using the data concerning China's urban-rural residents' income gap from 1978 to 2010, this paper mainly researches the application of several kinds of models in predicting China's urban-rural residents' income gap. By conducting empirical analysis, we establish ARIMA prediction model, grey...

The modeling of fertility patterns is an essential method researchers use to understand world-wide population patterns. Various types of fertility models have been reported in the literature to capture the patterns specific to developed countries. While much effort has been put into reducing...

We consider a polynomial regression model, where the covariate is measured with Gaussian errors. The measurement error variance is supposed to be known. The covariate is normally distributed with known mean and variance. Quasi Score (QS) and Corrected Score (CS) are two consistent estimation...