In this paper we derive the closed-form expression for the term structure of CDS spreads with the stochastic variance risk being priced. The resulting CDS spreads are determined by the proximity of the default point as well as the realized distribution of the inverse variance of the issuer's...

The q-Gaussian generalization of the Merton framework allows pricing of the additional risk premium related to fluctuations of the variance of the market value of a company's assets, which can explain the observed level of short-term CDS spreads of investment grade issuers. The derived simple...

Here, we show that from 1980 onward, the global annual cu-mulative count of major tropical cyclones (TC), category 3 and above,exhibit an upward trend (at 98% con dence level). We attribute thistrend to a global sea surface warming. Identi cation and attributionof the growing cumulative...

Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to diverse models of bankruptcy. One “stylized fact” is...

We study the probability distributions of daily leverage returns of 520 North American industrial companies that survive de-listing during the financial crisis, 2006-2012. We provide evidence that distributions of unbiased leverage returns of all individual firms belong to the class of...

Fat tails of q-Gaussian distributions of daily log-leverage-returns of 520 North American industrial firms reported by Katz and Tian (2013) imply a significantly higher credit risk at short time-horizons and/or large initial distances to the default barrier than forecasted by traditional...

We present the non-Gaussian extension of the traditional Merton framework, which takes into account slowly relaxing fluctuations of the volatility of the firm's market value of financial assets. The minimal version of the model depends on the Tsallis entropic parameter q and the generalized...

We analyze four major cryptocurrencies (Bitcoin, Ethereum, Litecoin, and Ripple) before the digital asset market crash at the beginning of 2018. We also analyze Bitcoin before some of the mini-crashes that occurred during the period 2016 - 2018. All relevant time series exhibited a highly...

Topological data analysis provides a new perspective on many problems in the domain of complex systems. Here, we establish the dependency of the mean value of functional $p$-norms of 'persistence landscapes' on a uniform scaling of the underlying multivariate distribution. Furthermore, we...

We study the relationships between the mean of functional L^p-norms of persistence topological landscapes of noisy datasets and statistical properties of the underlying probability distributions. We establish a functional relationship of the average L^p-norms to variability of datasets sampled...