Forecasting the Term Structure of Crude Oil Futures Prices Under Mean-Reverting Dynamics and Deep Learning Models

Ergodic robust maximisation of asymptotic growth with stochastic factor processes

We consider a robust asymptotic growth problem under model uncertainty in the presence of stochastic factors. We fix two inputs representing the instantaneous covariance for the asset price process X\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepa...

Likelihood-Ratio Pricing, Capital Lock-In, and Prefunded Restarts in Parimutuel Prediction Markets

Positive Solutions of a Nonlinear System Characterizing Gibbs Measures in Hard-Core SOS Models on Cayley Trees

Explicit distributions and time-changed dynamics of the two-state Markov modulated Poisson process

This paper investigates the two-state Markov modulated Poisson process Nt\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$N_t$$\end{documen...

Exact Order of Multiplicative Approximation in Beta Dynamical Systems

Pricing European-options with \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$\alpha-$$\end{document} hypergeometric s