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, ...

This course provides doctoral students the foundations of applied probability and stochastic modeling. The first part of the course covers basic concepts in probability, such as the Borel Cantelli ...

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 ...

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

A cylindrical Lévy process does not enjoy a cylindrical version of the semimartingale decomposition which results in the need to develop a completely novel approach to stochastic integration. In this ...