As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...

Stochastic processes and duality relations constitute a fundamental framework in the study of interacting particle systems, offering a powerful methodology to disentangle complex dynamics. At its core ...

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 ...

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 ...