We provide an abstract framework for submodular mean field games and identify verifiable sufficient conditions that allow to prove existence and approximation of strong mean field equilibria in models where data may not be continuous with respect to the measure parameter and common noise is...

We prove simple general formulas for expectations of functions of a Lévy process and its running extremum. Under additional conditions, we derive analytical formulas using the Fourier/Laplace inversion and Wiener-Hopf factorization, and discuss efficient numerical methods for realization of...

The authors make an important contribution presenting a comprehensive and thoughtful overview about the many different aspects of data, statistics and data analyses in times of the recent COVID-19 pandemic discussing all relevant topics. The paper certainly provides a very valuable reflection of...

In the Corona pandemic, it became clear with burning clarity how much good quality statistics are needed, and at the same time how unsuccessful we are at providing such statistics despite the existing technical and methodological possibilities and diverse data sources. It is therefore more than...

We examine the performance of initial public offerings (IPO) using a stochastic dominance approach that allows us to capture IPO investors’ preferences for higher moments of the returns distribution. We use a comprehensive sample of 6,671 IPOs in the U.S. with IPO dates from 1980 to 2012, and...

The COVID-19 pandemic has led to enormous data movements that strongly affect parameters and forecasts from standard VARs. To address these issues, we propose VAR models with outlier-augmented stochastic volatility (SV) that combine transitory and persistent changes in volatility. The resulting...

Symmetry properties of positive solutions for semilinear elliptic boundary value problems in Rn are considered. We employ the moving plane method based on the maximum principles on unbounded domains to obtain the results of symmetry of solutions of the problem

The classical Black-Scholes model describes the market behavior assuming that the volatility process is a constant, and the Heston model extends it to the case where the volatility is a stochastic process. Then, the rough Bergomi (rBergomi) model was proposed to improve the description of the...