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 …

We consider the problem faced by a central bank which bails out distressed financial
institutions that pose systemic risk to the banking sector. In a structural default model with …

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 …

In this work we introduce a model of default contagion that combines the approaches of
Eisenberg-Noe interbank networks and dynamic mean field interactions. The proposed …

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 …

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 …

We introduce a dynamic and stochastic interbank model with an endogenous notion of
distress contagion, arising from rational worries about future defaults and ensuing losses …

In this dissertation, I have used the network model based approach to study systemic risk in
financial networks. In particular, I have worked on generalized extensions of the Eisenberg …

We use a powerful extension of the classical method of heat potentials, recently developed
by the present author and his collaborators, to solve several significant problems of financial …