49 citations · 56 across the 3 of their papers we have counts for
3 papers
Self-respecting worker in the precarious gig economy: A dynamic principal-agent model
Zsolt Bihary, Péter Csóka, Péter Kerényi +1
We develop a continuous-time principal-agent model of gig work, where contractual flexibility allows the employer to adjust fixed pay and output-based incentives dynamically. The w…
Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing
Boris Buchmann, Benjamin Kaehler, Ross Maller +1
We unify and extend a number of approaches related to constructing multivariate Variance-Gamma (V.G.) models for option pricing. An overarching model is derived by subordinating mu…
GARCH modelling in continuous time for irregularly spaced time series data
Ross A. Maller, Gernot Müller, Alex Szimayer
The discrete-time GARCH methodology which has had such a profound influence on the modelling of heteroscedasticity in time series is intuitively well motivated in capturing many `s…