We propose a novel method to estimate dynamic equilibrium models with stochastic volatility. First, we characterize the properties of the solution to this class of models. Second, we take advantage of the results about the structure of the solution to build a sequential Monte Carlo algorithm to...

The paper presents the modelling of financial markets using the Stochastic Pi Calculus model. The Stochastic Pi Calculus model is mainly used for biological applications, however, the features of this model promotes its use in financial markets, more prominently in high frequency trading. The...

Large water demands by the mining industry are of increasing concern around the world. The cost of a specific water management regulation is studied for an oil sands mining operation in Canada, where restrictions on water withdrawals vary with fluctuations in the river. A stochastic optimal...

Hybrid equity-rate derivatives are commonly traded between financial institutions, but are challenging to price with traditional methods. Especially challenging are those contracts which involve an explicit interest rate (fixing) dependence in the cashflows, which stretches typical...

This paper presents a Continuous-Time Hidden Markov Model (CT-HMM) of debt issuers' credit quality dynamics. We observe ratings published by several agencies (e.g., Standard & Poor's, Moody's, Fitch) for one or several issuers (e.g., countries) and assume that we can find a maximum-likelihood...

We propose a hybrid scheme for the simulation of stochastic Volterra equations. The scheme is a mix of the hybrid scheme for Brownian semistationary processes of Bennedsen et al. [Financ. Stoch., 21(4), 931-965, 2017] and then the multifactor approximations of Abi Jaber et al. [SIAM J. Finan....

Since their introduction, quanto options have steadily gained popularity. Matching Black-Scholes-type pricing models and, more recently, a fat-tailed, normal tempered stable variant have been established. The objective here is to empirically assess the adequacy of quanto-option pricing models....

Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and the leverage effect) but also a cyclical pattern of return volatility that is known as intraday seasonality. In this paper, we extend the stochastic volatility (SV) model for...

We present a new model of normal tempered stable (NTS) processes with stochastic correlation for multi-asset option pricing. The model is constructed by extending the constant correlation term in the NTS model to the stochastic correlation making use of the Ornstein-Uhlenbeck process. As the...