In this paper, we propose a new multivariate mean-reverting model incorporating state-of-the art 4/2 stochastic volatility and a convenient principal component stochastic volatility (PCSV) decomposition for the stochastic covariance. We find a quasi closed-form characteristic function and...

In this paper we introduce the so-called McDonald Exponentiated Pareto distribution. We provide a number of mathematical properties of this distribution and derive among others expressions for its moment-generating function, the rth moment, and the Renyi entropy. Finally, we present the...

In this paper, we consider a perturbed compound Poisson risk model with investment and debit interests. Dividends are paid to the shareholders according to a threshold dividend strategy. An alternative assumption is that when the surplus is negative, a debit interest is applied and when the...

This paper proposes an approximation method to create an optimal continuous-time portfolio strategy based on a combination of neural networks and Monte Carlo, named NNMC. This work is motivated by the increasing complexity of continuous-time models and stylized facts reported in the literature....

This paper proposes an approximation method to create an optimal continuous-time portfolio strategy based on a combination of neural networks and Monte Carlo, named NNMC. This work is motivated by the increasing complexity of continuous-time models and stylized facts reported in the literature....