We show the existence of Nash equilibria in a Bertrand oligopoly price competition game using a possibly asymmetric attraction demand model with convex costs under mild assumptions. We show that the equilibrium is unique and globally stable. To our knowledge, this is the first paper to show the...

In this paper, we derive transform formulae for linear functionals of affine processes and their bridges whose state space is the set of positive semidefinite d×d matrices. Particularly, we investigate the relationship between such transforms and certain integral equations. Our findings extend...

This paper develops a method for selecting and analysing stress scenarios for financial risk assessment, with particular emphasis on identifying sensible combinations of stresses to multiple factors. We focus primarily on reverse stress testing - finding the most likely scenarios leading to...