Partially observed Mean Field Game (PO MFG) theory was introduced and developed in (Caines and Kizilkale, 2013, 2014, Şen and Caines 2014, 2015), where it i...

We develop a general structural model for valuing risky corporate debts that takes into account both default and interest rate risk. We propose a two-dimensi...

It is an established result in the literature that if the knowledge spillover between firms is sufficiently high, then R&D investments are higher when firm...

We analyze a transboundary pollution differential game where pollution control is spatially distributed among a number of agents with predetermined spatial r...

Lévy processes provide a solution to overcome the shortcomings of the lognormal hypothesis. A growing literature proposes the use of pure-jump Lévy processe...

We consider a dynamic game with a corrupt government and multiple civil society organizations as the players. We characterize feedback Stackelberg equilibr...

We propose the option realized variance as a new observable covariate that integrates high frequency option prices in the inference of option pricing models....

Security prices are important inputs for estimating credit risk models. Yet, to obtain an accurate firm-specific credit risk assessment, one needs a reliable...

We propose a dynamic program coupled with finite elements for valuing two-dimensional American-style options. To speed-up our procedure, we use parallel comp...

One of the most complex early-exercise decisions faced by traders in the financial derivatives markets is with T-Bond futures, due to the combination of mu...

The recent disappearance of a five-year-maturity gap from the set of Treasury bonds deliverable into the Chicago Board of Trade Treasury bond futures has res...

For a Neoclassical growth model, exponential discounting is observationally equivalent to quasi-hyperbolic discounting, if the instantaneous discount rate ...

Traditionally, claim counts and amounts are assumed to be independent in non-life insurance. This paper explores how this oft unwarranted assumption can be r...

In order to determine the risk capital for their aggregate portfolio, property and casualty insurance companies must fit a multivariate model to the loss tri...

In early 2001, the U.S. Department of the Treasury suspended the issuance of 30-year bonds, and then resumed issuing its long paper in early 2006. As a res...

The Great Recession has shaken the foundations of the financial industry and led to tighter solvency monitoring of both the banking and insurance industries....

Recent contributions to the financial econometrics literature exploit high-frequency (HF) data to improve models for daily asset returns. This paper propose...

We introduce an efficient approach to evaluate counterparty risk and we compute the Credit Valuation Adjustement for derivatives having early exercise feat...

We propose a quasi-analytical approach for valuing American-style options under Gaussian and double exponential jumps à la Merton (1976) and Kou (2002). Our ...

Since the financial crisis of 2007-2009, there has been a renewed interest toward quantifying more appropriately the risks involved in financial positions. P...