Related papers: Interest rates mapping
The purpose of the present paper is to incorporate stochastic interest rates into a matrix-approach to multi-state life insurance, where formulas for reserves, moments of future payments and equivalence premiums can be obtained as explicit…
Several studies have established the predictive power of the yield curve in terms of real economic activity. In this paper we use data for a variety of E.U. countries: both EMU (Germany, France, Italy) and non-EMU members (Sweden and the…
We introduce methods and theory for fractionally cointegrated curve time series. We develop a variance-ratio test to determine the dimensions associated with the nonstationary and stationary subspaces. For each subspace, we apply a local…
Cartograms are maps in which areas of geographic regions (countries, states) appear in proportion to some variable of interest (population, income). Cartograms are popular visualizations for geo-referenced data that have been used for over…
We introduce a novel machine learning approach to leverage historical and contemporary maps and systematically predict economic statistics. Our simple algorithm extracts meaningful features from the maps based on their color compositions…
The curve time series framework provides a convenient vehicle to accommodate some nonstationary features into a stationary setup. We propose a new method to identify the dimensionality of curve time series based on the dynamical dependence…
One of the risks derived from selling long term policies that any insurance company has, arises from interest rates. In this paper we consider a general class of stochastic volatility models written in forward variance form. We also deal…
The technique of Pad\'e Approximants, introduced in a previous work, is applied to extended recent data on the distribution of variations of interest rates compiled by the Federal Reserve System in the US. It is shown that new power laws…
We propose a multifractal model for short-term interest rates. The model is a version of the Markov-Switching Multifractal (MSM), which incorporates the well-known level effect observed in interest rates. Unlike previously suggested models,…
SOFR derivatives market remains illiquid and incomplete so it is not amenable to classical risk-neutral term structure models which are based on the assumption of perfect liquidity and completeness. This paper develops a statistical SOFR…
We consider discrete time Heath-Jarrow-Morton type interest rate models, where the interest rate curves are driven by a geometric spatial autoregression field. Strong consistency and asymptotic normality of the maximum likelihood estimators…
Sovereign credit ratings summarize the creditworthiness of countries. These ratings have a large influence on the economy and the yields at which governments can issue new debt. This paper investigates the use of a Multilayer Perceptron…
We propose Monte Carlo calibration algorithms for three models: local volatility with stochastic interest rates, stochastic local volatility with deterministic interest rates, and finally stochastic local volatility with stochastic interest…
The Earth's surface is subject to complex and dynamic processes, ranging from large-scale phenomena such as tectonic plate movements to localized changes associated with ecosystems, agriculture, or human activity. Satellite images enable…
I develop Macroeconomic Random Forest (MRF), an algorithm adapting the canonical Machine Learning (ML) tool to flexibly model evolving parameters in a linear macro equation. Its main output, Generalized Time-Varying Parameters (GTVPs), is a…
Yield curve modeling is an essential problem in finance. In this work, we explore the use of Bayesian statistical methods in conjunction with Nelson-Siegel model. We present the hierarchical Bayesian model for the parameters of the…
Three situations in which filtering theory is used in mathematical finance are illustrated at different levels of detail. The three problems originate from the following different works: 1) On estimating the stochastic volatility model from…
We present a HJM approach to the projection of multiple yield curves developed to capture the volatility content of historical term structures for risk management purposes. Since we observe the empirical data at daily frequency and only for…
This short note aims to introduce a rule which admits to compute %any time rate of interest in any time per any time, rate of inflation per any time in any moment, if the rate of interest or the rate of inflation by unity of time is an…
In this paper we study data from financial markets using an information-theory tool that we call the normalised Mutual Information Rate and show how to use it to infer the underlying network structure of interrelations in foreign currency…