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 processes provide a rigorous framework for modelling systems that evolve over time under uncertainty, while extremal theory offers the tools for understanding the behaviour of rare, ...
As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...
The Annals of Probability, Vol. 1, No. 4 (Aug., 1973), pp. 674-689 (16 pages) This paper shows that the epsilon entropy in the sup norm of a wide variety of processes with continuous paths on the unit ...
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