This article discuss a class of tractable model in the form of polynomial type.

In this article, we explore a class of tractable interest rate models that have the property that the prices of zero-coupon bonds can be expressed as polynomials of a state diffusion process. These models are, in a sense, generalisations of exponential polynomial models. Our main result is a...

A local martingale X is called arithmetically symmetric if the conditional distribution of XT-Xt is symmetric given , for all 0<=t<=T. Letting , the main result of this note is that for a continuous local martingale X the following are equivalent: (1) X is arithmetically symmetric. (2) The conditional distribution of XT given is N(Xt,<X>T-<X>t) for all 0<=t<=T. (3) X is a local martingale for the enlarged filtration for each T>=0. The notion of a geometrically symmetric martingale is also defined and characterized as the Doléans-Dade exponential of an arithmetically symmetric...</=t<=t.></x></=t<=t.>

We provide an alternative method for analysis of multifractal properties of time series. The new approach takes into account the behaviour of the whole multifractal profile of the generalized Hurst exponent $h(q)$ for all moment orders $q$, not limited only to the edge values of $h(q)$...

We construct explicitly a bridge process whose distribution, in its own filtration, is the same as the difference of two independent Poisson processes with the same intensity and its time 1 value satisfies a specific constraint. This construction allows us to show the existence of...

The agent-based computational economical model for the emergence of money from the initial barter trading, inspired by Menger's postulate that money can spontaneously emerge in a commodity exchange economy, is extensively studied. The model considered, while manageable, is sufficiently complex,...

Recently the interest of researchers has shifted from the analysis of synchronous relationships of financial instruments to the analysis of more meaningful asynchronous relationships. Both of those analyses are concentrated only on Pearson's correlation coefficient and thus intraday lead-lag...