Concept: Stochastic processes and financial applications
Beyond the mean: limit theory and tests for infinite-mean autoregressive conditional durations
When do trades occur less predictably than financial models assume
Guaranteed minimum income benefit valuation via a numéraire transformation approach
Valuing guaranteed income riders in variable annuities with faster computation
A New Functional Setting for Term Structure Modeling Using the Heath–Jarrow–Morton Framework
Improving yield curve modeling by removing arbitrary weighting assumptions
Score-driven time-varying parameter models with spline-based densities
Flexible density modeling for adaptive parameter estimation without distributional assumptions
Guaranteed Annuity Option Under Correlated and Regime-Switching Risks
Pricing insurance products when interest rates and mortality risks move together
