Stochastic volatility models have revolutionised the field of option pricing by allowing the volatility of an asset to vary randomly over time rather than remain constant. These models have ...

Pietro Rossi had a problem. An insurance company needed a model that could price bonds based on the likelihood of changes in credit ratings. The standard, off-the-shelf models are based on probability ...

The first-come, first-served (FCFS) stochastic matching model, where each server in an infinite sequence is matched to the first eligible customer from a second infinite sequence, developed from ...