18 citations · 94 across the 17 of their papers we have counts for
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The mutation process on the ancestral line under selection
Ellen Baake, Enrico Di Gaspero, Fernando Cordero
We consider the Moran model of population genetics with two types, mutation, and selection, and investigate the line of descent of a randomly-sampled individual from a contemporary…
-Wright--Fisher processes with general selection and opposing environmental effects: fixation and coexistence
Fernando Cordero, Sebastian Hummel, Grégoire Véchambre
Our results characterize the long-term behavior for a broad class of -Wright--Fisher processes with frequency-dependent and environmental selection. In particular, we reveal a r…
-coalescents arising in populations with dormancy
Fernando Cordero, Adrián González Casanova, Jason Schweinsberg +1
Consider a population evolving from year to year through three seasons: spring, summer and winter. Every spring starts with dormant individuals waking up independently of each…
Moran models and Wright--Fisher diffusions with selection and mutation in a one-sided random environment
Fernando Cordero, Grégoire Véchambre
Consider a two-type Moran population of size with selection and mutation, where the selective advantage of the fit individuals is amplified at extreme environmental conditions.…
General selection models: Bernstein duality and minimal ancestral structures
Fernando Cordero, Sebastian Hummel, Emmanuel Schertzer
-Wright--Fisher processes provide a robust framework to describe the type-frequency evolution of an infinite neutral population. We add a polynomial drift to the corresponding s…
Lines of descent in the deterministic mutation-selection model with pairwise interaction
Ellen Baake, Fernando Cordero, Sebastian Hummel
We consider the mutation--selection differential equation with pairwise interaction (or, equivalently, the diploid mutation--selection equation) and establish the corresponding anc…
On the stationary distribution of the block counting process for population models with mutation and selection
Fernando Cordero, Martin Möhle
We consider two population models subject to the evolutionary forces of selection and mutation, the Moran model and the -Wright-Fisher model. In such models the block counting p…
A probabilistic view on the deterministic mutation-selection equation: dynamics, equilibria, and ancestry via individual lines of descent
Ellen Baake, Fernando Cordero, Sebastian Hummel
We reconsider the deterministic haploid mutation-selection equation with two types. This is an ordinary differential equation that describes the type distribution (forward in time)…
Asymptotic arbitrage in fractional mixed markets
Fernando Cordero, Irene Klein, Lavinia Perez-Ostafe
We consider a family of mixed processes given as the sum of a fractional Brownian motion with Hurst parameter and a multiple of an independent standard Brownian motio…
Common ancestor type distribution: a Moran model and its deterministic limit
Fernando Cordero
We study the common ancestor type distribution in a -type Moran model with population size , mutation and selection, and in the deterministic limit regime arising in the form…
The deterministic limit of the Moran model: a uniform central limit theorem
Fernando Cordero
We consider a Moran model with two allelic types, mutation and selection. In this work, we study the behaviour of the proportion of fit individuals when the size of the population…
Strong asymptotic arbitrage in the large fractional binary market
Fernando Cordero, Lavinia Perez-Ostafe
We study, from the perspective of large financial markets, the asymptotic arbitrage opportunities in a sequence of binary markets approximating the fractional Black-Scholes model.…
Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets
Fernando Cordero, Lavinia Perez-Ostafe
We study the arbitrage opportunities in the presence of transaction costs in a sequence of binary markets approximating the fractional Black-Scholes model. This approximating seque…
Asymptotic proportion of arbitrage points in fractional binary markets
Fernando Cordero, Irene Klein, Lavinia Perez-Ostafe
A fractional binary market is an approximating sequence of binary models for the fractional Black-Scholes model, which Sottinen constructed by giving an analogue of the Donsker's t…
The first passage time of a stable process conditioned to not overshoot
Fernando Cordero
Consider a stable Lévy process and let , for , denote the first passage time of above the level . In this work, we give an alternative proof of t…
Binary markets under transaction costs
Fernando Cordero, Irene Klein, Lavinia Ostafe
The goal of this work is to study binary market models with transaction costs, and to characterize their arbitrage opportunities. It has been already shown that the absence of arbi…
On the scaling property in fluctuation theory for stable Lévy processes
Fernando Cordero
We find an expression for the joint Laplace transform of the law of for a Lévy process , where is the first hitting tim…