One important effect of price shocks in the United States has been increased political attention paid to the structure and performance of oil and natural gas markets, along with some governmental support for energy conservation. This paper describes how price changes helped lead the emergence of...

National statistical systems are the enterprises tasked with collecting, validating and reporting societal attributes. These data serve many purposes - they allow governments to improve services, economic actors to traverse markets, and academics to assess social theories. National statistical...

We propose a combination of cluster analysis and stochastic process analysis to characterize high-dimensional complex dynamical systems by few dominating variables. As an example, stock market data are analyzed for which the dynamical stability as well as transitions between different stable...

We consider an integro-differential equation derived from a system of coupled parabolic PDE and an ODE which describes an European option pricing with liquidity shocks. We study the well-posedness and prove comparison principle for the corresponding initial value problem.

The purpose of these notes is to provide a systematic quantitative framework - in what is intended to be a "pedagogical" fashion - for discussing mean-reversion and optimization. We start with pair trading and add complexity by following the sequence "mean-reversion via demeaning - regression -...

We develop a multi-curve term structure setup in which the modelling ingredients are expressed by rational functionals of Markov processes. We calibrate to LIBOR swaptions data and show that a rational two-factor lognormal multi-curve model is sufficient to match market data with accuracy. We...

It has been shown, that the systemic risk contained in financial markets can be indicated by the change of cross-correlation between different indices and stocks. This change is tracked by using principle component analysis (PCA). We use this technique to investigate the systemic risk contained...

A small investor provides liquidity at the best bid and ask prices of a limit order market. For small spreads and frequent orders of other market participants, we explicitly determine the investor's optimal policy and welfare. In doing so, we allow for general dynamics of the mid price, the...

The challenge to fruitfully merge state-of-the-art techniques from mathematical finance and numerical analysis has inspired researchers to develop fast deterministic option pricing methods. As a result, highly efficient algorithms to compute option prices in L\'evy models by solving partial...

In this work we study the price-hedge issue for general defaultable contracts characterized by the presence of a contingent CSA of switching type. This is a contingent risk mitigation mechanism that allow the counterparties of a defaultable contract to switch from zero to full/perfect...