Asset price processes are completely described by information processes and investor´s preferences. In this paper we derive the relationship between the process of investor's expectations ofthe terminal stock price and asset prices in a general continuous time pricing kernel framework. To...

The payoff of many credit derivatives depends on the level of credit spreads. In particular, credit derivatives with a leverage component are subject to gap risk, a risk associated with the occurrence of jumps in the underlying credit default swaps. In the framework of first passage time models,...

The payoff of many credit derivatives depends on the level of credit spreads. In particular, the payoff of credit derivatives with a leverage component is sensitive to jumps in the underlying credit spreads. In the framework of first passage time models we extend the model introduced in...

Asset price processes are completely described by information processes and investors´ preferences. In this paper we derive the relationship between the process of investors´ expectations of the terminal stock price and asset prices in a general continous time pricing kernel framework. To...

We present a new approach to the study of networks where the formation of links is driven by unilateral initiative of nodes. First, we propose a mathematical description of the extreme introvert and extrovert model (XIE), a dynamic network model in which the number of links fluctuates over time...

The UN's Sustainable Development Goals in their generalized form need to be further reflected in order to identify synergies and trade-offs between their (sub-)targets, and to apply them to concrete nations and regions. Explorative, qualitative cause and effect modeling could serve as a tool for...