The most common approach for default dependence modelling is at present copula functions. Within this framework, the paper examines factor copulas, which are the industry standard, together with their latest development, namely the incorporation of sudden jumps to default instead of a pure...

We consider the hedging of derivative securities when the price movement of the underlying asset can exhibit random jumps. Under a one factor Markovian setting, we derive a spanning relation between a long term option and a continuum of short term options. We then apply this spanning relation to...

There has been an on-going debate about choices of the most suitable model amongst avariety of model specifications and parameterizations. The first dissertation essay investigateswhether asymmetric leptokurtic return distributions such as Hansen’s (1994) skewed tdistributioncombined with...

We present a derivative pricing and estimation methodology for a class of stochastic volatility models that exploits the observed 'bursty' or persistent nature of stock price volatility. Empirical analysis of high-frequency S&P 500 index data confirms that volatility reverts slowly to its mean...

There has been an on-going debate about choices of the most suitable model amongst a variety of model specifications and parameterizations. The first dissertation essay investigates whether asymmetric leptokurtic return distributions such as Hansen's (1994) skewed tdistribution combined with...

There is an ostensible relationship between whether or not a nation is developed and the interpretation and collection of data in this nation. For instance, if a country is developing, it is difficult to collect figures, though much simpler to interpret them. The opposite is the case in a...

We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval Δ and describe the dependences of market-based volatilities of price and return on the volatilities...

We analyse the time evolution of the empirical cross-sectional distribution of firms profit and growth rates. In particular, we analyse the conditional properties of the empirical distributions depending on the size of the firms and business cycle phase. In order to do so, we employ the Laplace...

In this paper, we focus on the analysis of the drivers of LSTI ratio dynamics. Against this backdrop, we try to bridge this gap by introducing an average synthetic LSTI calculation and examine how various factors affect the LSTI ratio of borrowers that took out consumer and housing loans in...

Non-Gaussian state-space models arise in several applications, and within this framework the binary time series setting provides a relevant example. However, unlike for Gaussian state-space models — where filtering, predictive and smoothing distributions are available in closed form — binary...