2 papers
q-fin.RM2026
Determining Insolvency Regions in Banks: A Stochastic Dynamic Approach Integrating Liquidity and Credit Risk
Nader Karimi, Davood Ahmadian
We develop a continuous-time structural dynamic model to determine the exact insolvency regions of banks arising from the non-linear interaction between liquidity and credit risk.…
q-fin.PR2021
Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps
Foad Shokrollahi, Davood Ahmadian, Luca Vincenzo Ballestra
The mixed fractional Brownian motion () has become quite popular in finance, since it allows one to model long-range dependence and self-similarity while remaining, for certa…