2 papers
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…
econ.GN2025
Propagation of carbon price shocks through the value chain: the mean-field game of defaults
Zorana Grbac, Simone Pavarana, Thorsten Schmidt +1
We introduce a new mean-field game framework to analyze the impact of carbon pricing in a multi-sector economy with defaultable firms. Each sector produces a homogeneous good, with…