A modern version of monetary circuit theory with a particular emphasis on stochastic
underpinning mechanisms is developed. It is explained how money is created by the …

This paper proposes an integrated pricing framework for Credit Value Adjustment of equity
and commodity products. The given framework, in fact, generates dependence …

We propose an integrated model of the joint dynamics of FX rates and asset prices for the
pricing of FX derivatives, including Quanto products; the model is based on a multivariate …

In this paper, we study the nonlinear diffusion equation associated with a particle system
where the common drift depends on the rate of absorption of particles at a boundary. We …

We consider a structural default model in an interconnected banking network as in [1], with
mutual obligations between each pair of banks. We analyse the model numerically for two …

In this paper we consider mutual obligations in an interconnected bank system and analyze
their impact on the joint and marginal survival probabilities for individual banks. We also …

Pricing and hedging exotic options using local stochastic volatility models drew a serious
attention within the last decade, and nowadays became almost a standard approach to this …

In this paper we apply the multivariate construction for Lévy processes introduced by Ballotta
and Bonfiglioli (2014) to propose an integrated model for the joint dynamics of FX exchange …

We derive a semi-analytical formula for the transition probability of three-dimensional
Brownian motion in the positive octant with absorption at the boundaries. Separation of …

In this paper, we study the non-linear diffusion equation associated with a particle system
where the common drift depends on the rate of absorption of particles at a boundary. We …