The pricing of collateralized debt obligations (CDOs) and other basket credit derivatives is contingent upon (i) a realistic modelling of the firms' default times and the correlation between them, and (ii) efficient computational methods for computing the portfolio loss distribution from the...

We consider samples of geometric random variables and find the average size of the descent after the first and last maximal values. These are asymptotically but not exactly equal, with the descent after the last maximum being slightly larger than that after the first. Thereafter we calculate the...

Results are presented for approximating the moments of least squares estimators, particularly those of the OLS estimator, and the methodology is illustrated using a simple dynamic model.

Under model correctness, highly accurate inference on a scalar interest parameter in the presence of a nuisance parameter can be achieved by several routes, among them considering the bootstrap distribution of the signed root likelihood ratio statistic. The context of model mis-specification is...

We derive a closed-form asymptotic expansion formula for option implied volatility under a two-factor jump-diffusion stochastic volatility model when time-to-maturity is small. Based on numerical experiments we describe the range of time-to-maturity and moneyness for which the approximation is...

In statistical analyses the complexity of a chosen model is often related to the size of available data. One important question is whether the asymptotic distribution of the parameter estimates normally derived by taking the sample size to infinity for a fixed number of parameters would remain...