Affine processes provide a versatile framework for modelling complex financial phenomena, ranging from interest rate dynamics to credit risk and beyond. Their defining characteristic is the affine, or ...
Stochastic differential equations (SDEs) provide a foundational framework for modelling systems subject to randomness, incorporating both continuous fluctuations and abrupt changes. In recent decades ...
As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...
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