Over the last two decades, default rates and market risk have increased substantially. A consequence of the growing global interlacing is a strong dependence between both individual stock returns and credit events. Risk management (especially risk diversification) is much more challenging,...

“Semi-stochastic” or “piecewise-deterministic” Markov processes generalize continuous-time Markov chains, allowing for deterministic flow between Markovian jumps. They have been employed as models for the effect of environmental catastrophes on biological populations, for the progress of...

In this study, a multivariate ARMA-GARCH model with fractional generalized hyperbolic innovations exhibiting fat-tail, volatility clustering, and long-range dependence properties is introduced. To define the fractional generalized hyperbolic process, the non-fractional variant is derived by...

We present a comprehensive framework for comparing the merits of alternative portfolio insurance strategies in realistic contexts. Our findings add generality to previous results comparing option based and constant proportionality portfolio insurance strategies (OBPI and CPPI). The optimal OBPI...

We investigate the nature of genetic drift acting at the leading edge of range expansions, building on recent results in [Hallatschek et al., Proc. Natl. Acad. Sci., 104(50): 19926–19930 (2007)]. A well-mixed population of two fluorescently labeled microbial species is grown in a circular...

In this study, we investigate two multivariate time-changed Brownian motion option pricing models in which the connection between the historical measure P and the risk-neutral measure Q is given by the Esscher transform. The models incorporate skewness, kurtosis and more complex dependence...