4 papers
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…
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…
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…
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…