activity
20202026
most citedA singular two-phase Stefan problem and particles interacting through their hitting times

1 citations · 1 across the 7 of their papers we have counts for

collaborators
Showing 2026Show all

2 papers · 1 filter

math.PR2026

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…

q-fin.MF2026

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…