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math.PR2023
On the ergodicity of a three-factor CIR model
Giacomo Ascione, Michele Bufalo, Giuseppe Orlando
This study introduces the CIR3 model, a three-factor model characterized by stochastic and correlated trends and volatilities. The paper focuses on establishing the Wasserstein erg…
q-bio.PE2023
Modeling COVID-19 pandemic with financial markets models: The case of Jaén (Spain)
Julio Guerrero, Maria del Carmen Galiano, Giuseppe Orlando
The main objective of this work is to test whether some stochastic models typically used in financial markets could be applied to the COVID-19 pandemic. To this end we have impleme…