In this paper a simple stochastic approach has been presented for modelling financial observables which are constrained to lie between two positive bounds. While the proposed stochastic process has an inaccessible upper boundary, the lower boundary is quasi-bounded, implying that the lower...

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...

In this study, we extend the three-regime bubble model of Pang et al. (2021) to allow the forth regime followed by the unit root process after recovery. We provide the asymptotic and finite sample justification of the consistency of the collapse date estimator in the two-regime AR(1) model. The...

We introduce in this article the EWMA Heston model, a markovian stochastic volatility model able to capture a wide range of empirical features related to volatility dynamics while being more tractable for simulations than rough volatility models based on fractional processes. After having...