4 papers
Dynkin Games for Lévy Processes
Laura Aspirot, Ernesto Mordecki, Andres Sosa
We obtain a verification theorem for solving a Dynkin game driven by a Lévy process. The result requires finding two averaging functions that, composed respectively with the suprem…
Short range vs long range dependence. An hyppothesis test based on Fractional Iterated Ornstein--Uhlenbeck processes
Juan Kalemkerian, Andrés Sosa
In this work, which is based on the family of Fractional Iterated Ornstein Uhlenbeck processes, we propose a new hypothesis test to contrast short memory versus long memory in time…
Performance analysis of Zero Black-Derman-Toy interest rate model in catastrophic events: COVID-19 case study
Grzegorz Krzyżanowski, Andrés Sosa
In this paper we continue the research of our recent interest rate tree model called Zero Black-Derman-Toy (ZBDT) model, which includes the possibility of a jump at each step to a…
Zero Black-Derman-Toy interest rate model
Grzegorz Krzyżanowski, Ernesto Mordecki, Andrés Sosa
We propose a modification of the classical Black-Derman-Toy (BDT) interest rate tree model, which includes the possibility of a jump with small probability at each step to a practi…