In this paper, an upper bound of van Zwet on the characteristic function of simple linear rank statistics is, under the null-hypothesis, generalized to the characteristic function of the exponentially tilted distribution. Our present result solves a difficult and crucial step in obtaining a rate...

We propose a bivariate non-homogeneous birth and death process as a model for predator–prey interactions. Its expectation is periodic, as it is a solution to the classical Lotka–Volterra system. Moreover, the mean age at extinction, as defined in Kendall (1948), is infinite.

An integer-valued analogue of the classical generalized autoregressive conditional heteroskedastic (GARCH) (p,q) model with Poisson deviates is proposed and a condition for the existence of such a process is given. For the case p = 1, q = 1, it is explicitly shown that an integer-valued GARCH...

The paper proposes in a regime-shift framework, an arbitrage-free term structure model based on the target and Fed Funds Rates. Empirical observations suggest that a three-state regime-shift environment associated with FOMC monetary actions is justified. Then, a closed-form solution for...

A continuous-time utility portfolio selection problem is studied in a market in which the interest rate, appreciation rates and volatility coefficients are driven by Brownian motion. We construct an optimal portfolio using results from forward-backward stochastic differential equations (FBSDE)...

In this paper, we derive and empirically test a regime-shifting dynamic term structure model for pricing interest rate caps. The central state variables are the target rate of the Federal Reserve and its latent regime in which it fluctuates. These state variables are driven by a discrete time...