A financial market model where agents trade using realistic combinations of simple (i.e., finite combinations of buy-and-hold) no-short-sales strategies is considered. Minimal assumptions are made on the discounted asset-price ...

This paper describes a two-factor model for a diversified market index using the growth optimal portfolio with a stochastic and possibly correlated intrinsic timescale. The index is modelled using a time transformed ...

The paper estimates the speed of convergence of the Euler approximation for diffusion processes with jump component which have Hölder continuous coefficients.

This paper is a survey of strong discrete time approximations of jump-diffusion processes described by stochastic differential equations (SDEs). It also presents new results on strong discrete time approximations for the ...

The paper presents a consistent approach to the modeling of general and specific market risk as defined in regulatory documents. It compares the statistically based beta-factor model with a class of benchmark models that ...

This paper considers the derivation of weak discrete time approximations for solutions of stochastic differential equations with time delay. These are suitable for Monte Carlo simulation and allow the computation of ...