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q-fin.PR2025
Design and valuation of multi-region CoCoCat bonds
Jacek Wszoła, Krzysztof Burnecki, Marek Teuerle +1
This paper introduces a novel multidimensional insurance-linked instrument: a contingent convertible bond (CoCoCat bond) whose conversion trigger is activated by predefined natural…
math.PR2025
First passage locations for two-dimensional lattice random walks and the bell-shape
Jacek Wszoła
Let be a two-dimensional diagonal random walk on the lattice , with transition probabilities depending only on the position of . In this paper, we s…