We consider systems of interacting diffusion processes which generalize the volatility-stabilized market models introduced in Fernholz and Karatzas (Ann Finance 1(2):149–177, <CitationRef CitationID="CR5">2005</CitationRef>). We show how to construct a weak solution of the underlying system of stochastic differential equations. In...</citationref>

Based on Malliavin calculus tools and approximation results, we show how to compute a maximum likelihood type estimator for a rather general differential equation driven by a fractional Brownian motion with Hurst parameter <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$H1/2$$</EquationSource> </InlineEquation>. Rates of convergence for the approximation task are provided,...</equationsource></inlineequation>

The current paper presents a short survey of stochastic models of risk control and dividend optimization techniques for a financial corporation. While being close to consumption/investment models of Mathematical Finance, dividend optimization models possess special features which do not allow...

We consider the problem of how to prize general securities whose payoff at maturity only depends on the interest rate rT at the time of exercise, where rt is supposed to be a stochastic Feller process. We show how to generalize the results of Cox et al. [Econometrica 53 (2) (1985) 385] regarding...