Related papers: Interest rates mapping
Random graph models are widely used to understand network properties and graph algorithms. Key to such analyses are the different parameters of each model, which affect various network features, such as its size, clustering, or degree…
This paper proposes an empirical method to implement the recentered influence function (RIF) regression of Firpo, Fortin and Lemieux (2009), a relevant method to study the effect of covariates on many statistics beyond the mean. In…
We introduce a novel class of rotation invariants of two dimensional curves based on iterated integrals. The invariants we present are in some sense complete and we describe an algorithm to calculate them, giving explicit computations up to…
Rank-rank regression is commonly employed in economic research as a way of capturing the relationship between two economic variables. The slope of this regression is the Spearman rank correlation, a classical measure of association.…
We propose and implement a method to analyze time series with a neural network using a matrix of area-normalized persistence landscapes obtained through topological data analysis. We include a gating layer in the network's architecture that…
In the field of statistical learning and data analysis, estimating precision matrices (i.e., the inverse of covariance matrices) is a critical task, particularly for understanding dependency structures among variables. However, traditional…
The emerging system at the European level can be conceptualized as a pattern of relations among member states that tends to be reproduced despite disturbances in individual trajectories. The Markov property is used as an indicator of…
We derive generalizations of Dupire formula to the cases of general stochastic drift and/or stochastic local volatility. First, we handle a case in which the drift is given as difference of two stochastic short rates. Such a setting is…
We introduce simple cost and risk proxy metrics that can be attached to Treasury issuance strategy to complement analysis of the resulting portfolio weighted-average maturity (WAM). These metrics are based on mapping issuance fractions to…
A quantitative model is presented linking the rate of inflation and unemployment to the change in the level of labor force. The link between the involved variables is a linear one with all coefficients of individual and generalized models…
Item Response Theory (IRT) has been widely used in educational psychometrics to assess student ability, as well as the difficulty and discrimination of test questions. In this context, discrimination specifically refers to how effectively a…
The introduction of a metric onto the space of parameters in models in Statistical Mechanics and beyond gives an alternative perspective on their phase structure. In such a geometrization, the scalar curvature, R, plays a central role. A…
Given a Heath-Jarrow-Morton (HJM) interest rate model $\mathcal{M}$ and a parametrized family of finite dimensional forward rate curves $\mathcal{G}$, this paper provides a technique for projecting the infinite dimensional forward rate…
Matrix factor model is drawing growing attention for simultaneous two-way dimension reduction of well-structured matrix-valued observations. This paper focuses on robust statistical inference for matrix factor model in the ``diverging…
Data types that lie in metric spaces but not in vector spaces are difficult to use within the usual regression setting, either as the response and/or a predictor. We represent the information in these variables using distance matrices which…
In this letter, I consider the issue of pricing risky debt by following Merton's approach. I generalize Merton's results to the case where the interest rate is modeled by the CIR term structure. Exact closed forms are provided for the risky…
In this paper, we study option pricing under Vasicek Model by a Hamiltonian approach. Since the interest rate changes with time, we split the time to maturity into infinite steps, and the matrix element during each step could be calculated…
In this paper, we propose a new model to address the problem of negative interest rates that preserves the analytical tractability of the original Cox-Ingersoll-Ross (CIR) model without introducing a shift to the market interest rates,…
Financial markets are complex adaptive systems, and are commonly studied as complex networks. Most of such studies fall short in two respects: they do not account for non-linearity of the studied relationships, and they create one network…
We apply the concept of free random variables to doubly correlated (Gaussian) Wishart random matrix models, appearing for example in a multivariate analysis of financial time series, and displaying both inter-asset cross-covariances and…