We provide a proof for the functional Feynman-Kac Theorem for jump diffusions with path-dependent coefficients. To obtain this result we first study the existence and uniqueness of solutions to functional jump diffusions and derive a useful bound for the solution. We apply our results to the...

The regime switching rough Heston model has two important features on different time scales. The regime switching is motivated by changes in the long term behaviour. The parameter of the model might change over time due to macro-economic reasons. Therefore we introduce a Markov chain to model...

We study existence and uniqueness of a solution to path-dependent backward stochastic Volterra integral equations (BSVIEs, in short) with jumps, where path-dependence means the dependence of the free term and generator of a path of a càdlàg process. Furthermore, we prove path-differentiability...

The question of measuring and managing systemic risk - especially in view of the recent financial crises - became more and more important. We study systemic risk by taking the perspective of a financial regulator and considering the axiomatic approach originally introduced in Chen et al. (2013)...