This paper provide a large-deviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. The results may be useful in allocating...

This paper provide a large-deviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. The results may be useful in allocating...

This paper provide a large-deviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. The results may be useful in allocating...

The one-dimensional SDE with non Lipschitz diffusion coefficient $dX_{t} = b(X_{t})dt + \sigma X_{t}^{\gamma} dB_{t}, \ X_{0}=x, \ \gamma1$ is widely studied in mathematical finance. Several works have proposed asymptotic analysis of densities and implied volatilities in models involving...

This paper studies the dynamic entropic repulsion for the Ginzburg-Landau [backward difference][phi] interface model on the wall. Depending on the lattice dimension d, the interface is repelled as t--[infinity] to for d=3 and logt for d=2. In the harmonic case with a quadratic interaction...

We study the existence of first derivatives with respect to the initial condition of the solution of a finite system of SDEs with reflection. We prove that such derivatives evolve according to a linear differential equation when the process is away from the boundary and that they are projected...