The general problem of asset pricing when the discount rate differs from the rate at which an asset’s cash flows accrue is considered. A pricing kernel framework is used to model an economy that is segmented into distinct markets, each identified by a yield curve having its own market, credit...

We apply adjoint algorithmic differentiation (AAD) to the risk management of derivative securities in the situation where the dynamics of securities prices are given in terms of partial differential equations (PDE). With simple examples, we show how AAD can be applied to both forward and...

Interest rate benchmarks are currently undergoing a major transition. The LIBOR benchmark is planned to be discontinued by the end of 2021 and 'replaced' by what ISDA calls an adjusted risk-free rate (RFR). ISDA has recently announced that the LIBOR 'replacement' will most likely be constructed...

We propose a novel approach for the construction of quantile processes governing the stochastic dynamics of quantiles in continuous time. Two classes of quantile diffusions are identified: The first, which we largely focus on, features a random quantile level and allows for direct interpretation...

We investigate the joint distribution and the multivariate survival functions for the maxima of an Ornstein-Uhlenbeck (OU) process in consecutive time-intervals. A PDE method, alongside an eigenfunction expansion, is adopted with which we first calculate the distribution and the survival...

We construct models for the pricing and risk management of inflation-linked derivatives. The models are rational in the sense that linear payoffs written on the consumer price index have prices that are rational functions of the state variables. The nominal pricing kernel is constructed in a...

We model continuous-time information flows generated by a number of information sources that switch on and off at random times. By modulating a multi-dimensional Lévy random bridge over a random point field, our framework relates the discovery of relevant new information sources to jumps in...

Interest rate benchmarks are currently undergoing a major transition. The LIBOR benchmark is planned to be discontinued by the end of 2021 and superseded by what ISDA calls an adjusted risk-free rate (RFR). ISDA has recently announced that the LIBOR replacement will most likely be constructed...

The general problem of asset pricing when the discount rate differs from the rate at which an asset's cash flows accrue is considered. A pricing kernel framework is used to model an economy that is segmented into distinct markets, each identified by a yield curve having its own market, credit...