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math.PR2025
An extended CIR process with stochastic discontinuities
Claudio Fontana, Simone Pavarana, Thorsten Schmidt
We study an extension of the Cox-Ingersoll-Ross (CIR) process that incorporates jumps at deterministic dates, referred to as stochastic discontinuities. Our main motivation stems f…
q-fin.RM2025
A stochastic Gordon-Loeb model for optimal cybersecurity investment under clustered attacks
Giorgia Callegaro, Claudio Fontana, Caroline Hillairet +1
We develop a continuous-time stochastic model for optimal cybersecurity investment under the threat of cyberattacks. The arrival of attacks is modeled using a Hawkes process, captu…