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 ...

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 ...

Markov processes form a fundamental class of stochastic models in which the evolution of a system is delineated by the memoryless property. In such processes, the future state depends solely on the ...

This paper reviews the general Bayesian approach to parameter estimation in stochastic volatility models with posterior computations performed by Gibbs sampling. The main purpose is to illustrate the ...

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

Fundamental concepts of probability theory; modeling and analysis of systems having random dynamics, and in particular, queueing systems. Homework, exams and problem-solving sessions. This course is a ...