Affine processes provide a versatile framework for modelling complex financial phenomena, ranging from interest rate dynamics to credit risk and beyond. Their defining characteristic is the affine, or ...

Random walks constitute one of the most fundamental models in the study of stochastic processes, representing systems that evolve in a sequence of random steps. Their applications range from modelling ...

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...

The paper investigates stochastic processes directed by a randomized time process. A new family of directing processes called Hougaard processes is introduced. Monotonicity properties preserved under ...

Stochastic volatility is the unpredictable nature of asset price volatility over time. It's a flexible alternative to the Black Scholes' constant volatility assumption.