1 citations · 1 across the 7 of their papers we have counts for
8 papers
Traveling Waves in Equity Markets with Rank-Based Entry and Exit
Graeme Baker, Caroline Smyth
We model equity markets using geometric Brownian particles entering and exiting at rank-dependent intensities. In the many-firm limit, the capital distribution converges to the sol…
Multi-Credit Calibration via Elastically Stopped Lévy Processes
Graeme Baker, Agostino Capponi
We calibrate credit default swaps and index tranches with elastically stopped Lévy processes: each firm defaults when the running supremum of a latent, spectrally positive distress…
Minimal Solutions to the Skorokhod Reflection Problem Driven by Jump Processes and an Application to Reinsurance
Graeme Baker, Ankita Chatterjee
We consider a reflected process in the positive orthant driven by an exogenous jump process. For a given input process, we show that there exists a unique minimal strong solution t…
Data-Driven Dynamic Factor Modeling via Manifold Learning
Graeme Baker, Agostino Capponi, J. Antonio Sidaoui
We introduce a data-driven dynamic factor framework for modeling the joint evolution of high-dimensional covariates and responses without parametric assumptions. Standard factor mo…
Particle Systems and McKean--Vlasov Dynamics with Singular Interaction through Local Times
Graeme Baker, Ben Hambly, Philipp Jettkant
We study a system of reflected Brownian motions on the positive half-line in which each particle has a drift toward the origin determined by the local times at the origin of all th…
Sensitivity to Initial Data for Physical and Minimal Solutions of the Supercooled Stefan Problem
Graeme Baker
We address the problem of well-posedness for physical and minimal solutions to a probabilistic reformulation of the supercooled Stefan problem by investigating the sensitivity of t…
A singular two-phase Stefan problem and particles interacting through their hitting times
Graeme Baker, Mykhaylo Shkolnikov
We consider a probabilistic formulation of a singular two-phase Stefan problem in one space dimension, which amounts to a coupled system of two McKean-Vlasov stochastic differentia…
Zero kinetic undercooling limit in the supercooled Stefan problem
Graeme Baker, Mykhaylo Shkolnikov
We study the solutions of the one-phase supercooled Stefan problem with kinetic undercooling, which describes the freezing of a supercooled liquid, in one spatial dimension. Assumi…