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

In this paper we show that any separable stochastic process on a compact metric space can be derived from a temporally homogeneous Markov process on the extreme points of a compact convex set of ...

This is a preview. Log in through your library . Abstract Random walks are a fundamental model in applied mathematics and are a common example of a Markov chain. The limiting stationary distribution ...

This course is compulsory on the MSc in Financial Mathematics and MSc in Quantitative Methods for Risk Management. This course is available on the MSc in Econometrics and Mathematical Economics, MSc ...