Prospect theory is widely viewed as the best available descriptive model of how people evaluate risk in experimental settings. According to prospect theory, people are risk-averse with respect to gains and risk-seeking with respect to losses, a phenomenon called "loss aversion". Despite of the...

Recent financial crises have shown the importance of determining the directionality of the influence between financial assets in order to identify the origin of market instabilities. Here, we analyze the correlation between Japan’s Nikkei stock average index (Nikkei 225) and other financial...

The identification of genes associated with human disorders is a major goal in computational biology. Although the rapid emergence of cellular network-based approaches has been successful in many instances, all of these methodologies are partially limited by the incompleteness of the...

The identification of genes associated with human disorders is a major goal in computational biology. Although the rapid emergence of cellular network-based approaches has been successful in many instances, all of these methodologies are partially limited by the incompleteness of the...

We consider a credit risk model with two industrial sectors, where defaults of corporations would be influenced by two factors. The first factor represents the macro economic condition which would affect the default intensities of the two industrial sectors differently. The second factor...

Banks often seek to reduce the default risk exposure associated with their corporate loan portfolios by entering into credit derivative positions. They can, for example, buy default protection on selected borrowers, or diversify the portfolio by selling protection on other names. The design of...

We propose a new nonlinear filtering model for a better estimation of credit rating transition matrix consistent with the hypothesis that rating transition intensities as well as dynamics of financial asset prices depend on some unobservable macroeconomic factor. We attempt a branching particle...

We apply Geometric Arbitrage Theory to obtain results in Mathematical Finance, which do not need stochastic differential geometry in their formulation.First, for a generic market dynamics given by a multidimensional Itô's process we specify and prove the equivalence between (NFLVR) and expected...