New stochastic processes to model interest rates : LIBOR additive processes

In this paper, a new kind of additive process is proposed. Our main goal is to define, characterize and prove the existence of the LIBOR additive process as a new stochastic process. This process will be de.ned as a piecewise stationary process with independent increments, continuous in probability but with discontinuous trajectories, and having "càdlàg" sample paths. The proposed process is specifically designed to derive interest-rates modelling because it allows us to introduce a jump-term structure as an increasing sequence of Lévy measures. In this paper we characterize this process as a Markovian process with an infinitely divisible, selfsimilar, stable and self-decomposable distribution. Also, we prove that the Lévy-Khintchine characteristic function and Lévy-Itô decomposition apply to this process. Additionally we develop a basic framework for density transformations. Finally, we show some examples of LIBOR additive processes

A History of Competition: The Impact of Antitrust on Hong Kong’s Telecommunications Markets

Hong Kong has only had cross-sector competition law since 2015, but the city’s telecommunications markets have been subject to sector-specific antitrust provisions for over two decades. The importance of nurturing an efficient, innovative, and competitive telecoms industry for Hong Kong’s economic prosperity was acknowledged already at the time the sector was liberalized in the 1990s. Yet until the late 2000s, the government vehemently opposed the adoption of competition law in virtually all other sectors of the economy. This paper examines the effectiveness of the regulatory framework set up to guarantee the protection of competition in the telecommunications sector in Hong Kong. The results of the liberalization process are certainly remarkable, and the city boasts very competitive telecoms markets. However, it is argued that the enthusiasm over the results of the liberalization process may have eclipsed important competition issues in local markets, which could have been tackled through the development of a robust antitrust policy, but which were sadly left unheeded. On the basis of the analysis of the history of (sector-specific) competition law in the telecoms sector, this Article assesses the potential of the new Competition Ordinance to address the principal threats to competition in these markets. In doing so, the paper finds that, while the new regulatory framework may be generally suitable to combat collusion, it is less clear that it will effectively combat the problems associated with the creation of market power through mergers, or the abuse of that power

Credit risk with semimartingales and risk-neutrality

A no-arbitrage framework to model interest rates with credit risk, based on the LIBOR additive process, and an approach to price corporate bonds in incomplete markets, is presented in this paper. We derive the no-arbitrage conditions under different conditions of recovery, and we obtain new expressions in order to estimate the probabilities of default under risk-neutral measure

Credit risk with semimartingales and risk-neutrality

A no-arbitrage framework to model interest rates with credit risk, based on the LIBOR additive process, and an approach to price corporate bonds in incomplete markets, is presented in this paper. We derive the no-arbitrage conditions under different conditions of recovery, and we obtain new expressions in order to estimate the probabilities of default under risk-neutral measure.Credit-risk, Semimartingales, Interest-rate modelling

LIBOR additive model calibration to swaptions markets

In the current paper, we introduce a new calibration methodology for the LIBOR market model driven by LIBOR additive processes based in an inverse problem. This problem can be splitted in the calibration of the continuous and discontinuous part, linking each part of the problem with at-the-money and in/out -of -the-money swaption volatilies. The continuous part is based on a semidefinite programming (convex) problem, with constraints in terms of variability or robustness, and the calibration of the Lévy measure is proposed to calibrate inverting the Fourier Transform

Suiza y la Unión Europea: condicionantes institucionales internos, retos y perspectivas de la “relación especial”

En unos tiempos en los que todos los países europeos desean ingresar en la UE de 27 miembros, Suiza –situada política y geográficamente en el mismo corazón de Europa– se mantiene fuera de la UE. A pesar de haberse producido un intenso acercamiento mediante acuerdo bilaterales, persiste aparentemente en el futuro venidero una vía especial de relaciones bilaterales

How Much Can Outlook Forecasts be Improved? An Application to the U.S. Hog Market

This study investigates the predictability of outlook hog price forecasts released by Iowa State University relative to alternative market and time-series forecasts. The findings suggest that predictive performance of the outlook hog price forecasts can be improved substantially. Under RMSE, VARs estimated with Bayesian procedures that allow for some degree of flexibility and model averaging consistently outperform Iowa outlook estimates at all forecast horizons. Evidence from the encompassing tests, which are highly stringent tests of forecast performance, indicates that many price forecasts do provide incremental information relative to Iowa. Simple combinations of these models and outlook forecasts are able to reduce forecast errors by economically significant levels. The value of the forecast information is highest at the first horizon and then gradually declines.forecast, futures, models, prices, time-series, vector autoregression, Agricultural Finance,

LIBOR additive model calibration to swaptions markets

In the current paper, we introduce a new calibration methodology for the LIBOR market model driven by LIBOR additive processes based in an inverse problem. This problem can be splitted in the calibration of the continuous and discontinuous part, linking each part of the problem with at-the-money and in/out -of -the-money swaption volatilies. The continuous part is based on a semidefinite programming (convex) problem, with constraints in terms of variability or robustness, and the calibration of the Lévy measure is proposed to calibrate inverting the Fourier Transform.Lévy Market model, Calibration, Semidefinite programming