If the historical average annual real interest rate is m 0, and if the world is stationary, should consumption in the distant future be discounted at the rate of m per year? Suppose the annual real interest rate r(t) reverts to m according to the Ornstein Uhlenbeck (OU) continuous time process...

The usual development of the continuous time random walk (CTRW) assumes that jumps and time intervals are independent (and identically distributed) random variables. In this paper we address the theoretical setting of non-independent CTRW's where jumps and/or time intervals are correlated. An...

An intense research on financial market microstructure is presently in progress. Continuous time random walks (CTRWs) are general models capable to capture the small-scale properties that high frequency data series show. The use of CTRW models in the analysis of financial problems is quite...