Related papers: Interest rates mapping
Schematic maps are in daily use to show the connectivity of subway systems and to facilitate travellers to plan their journeys effectively. This study surveys up-to-date algorithmic approaches in order to give an overview of the state of…
Rate change calculations in the literature involve deterministic methods that measure the change in premium for a given policy. The definition of rate change as a statistical parameter is proposed to address the stochastic nature of the…
This article provides an overview on the statistical modeling of complex data as increasingly encountered in modern data analysis. It is argued that such data can often be described as elements of a metric space that satisfies certain…
In this paper we give definitions of matrix rates of return which do not depend on the choice of basis describing baskets. We give their economic interpretation. The matrix rate of return describes baskets of arbitrary type and extends…
The Vasicek model is a commonly used interest rate model, and there exist many extensions and generalizations of it. However, most generalizations of the model are either univariate or assume the noise process to be Gaussian, or both. In…
Quantitative assessment of the growth of biological organisms has produced many mathematical equations. Many efforts have been given on statistical identification of the correct growth model from experimental data. Every growth equation is…
We present local mappings that relate the marginal probabilities of a global probability mass function represented by its primal normal factor graph to the corresponding marginal probabilities in its dual normal factor graph. The mapping is…
In this paper we propose a semi-Markov modulated model of interest rates. We assume that the switching process is a semi-Markov process with finite state space E and the modulated process is a diffusive process. We derive recursive…
Density ratio estimation serves as an important technique in the unsupervised machine learning toolbox. However, such ratios are difficult to estimate for complex, high-dimensional data, particularly when the densities of interest are…
Global fixed income returns span across multiple maturities and economies, that is, they naturally reside on multi-dimensional data structures referred to as tensors. In contrast to standard "flat-view" multivariate models that are agnostic…
We propose and analyze numerical methods for the Heath-Jarrow-Morton (HJM) model. To construct the methods, we first discretize the infinite dimensional HJM equation in maturity time variable using quadrature rules for approximating the…
Random matrix products arise in many science and engineering problems. An efficient evaluation of its growth rate is of great interest to researchers in diverse fields. In the current paper, we reformulate this problem with a generating…
This paper focuses on modeling ride requests and their variations over location and time, based on analyzing extensive real-world data from a ride-sharing service. We introduce a graph model that captures the spatial and temporal…
The traditional way of building a yield curve is to choose an interpolation on discount factors, implied by the market tradable instruments. Since then, constructions based on specific interpolations of the forward rates have become the…
We show that, for the purpose of pricing Swaptions, the Swap rate and the corresponding Forward rates can be considered lognormal under a single martingale measure. Swaptions can then be priced as options on a basket of lognormal assets and…
We develop a statistical testing procedure to examine whether the curve-valued time series of interest is integrated of order d for an integer d. The proposed procedure can distinguish between integer-integrated time series and…
This paper is concerned with finite dimensional models for the entire term structure for energy futures. As soon as a finite dimensional set of possible yield curves is chosen, one likes to estimate the dynamic behaviour of the yield curve…
Cartograms are a technique for visually representing geographically distributed statistical data, where values of a numerical attribute are mapped to the size of geographic regions. Contiguous cartograms preserve the adjacencies of the…
The phenomenology of the forward rate curve (FRC) can be accurately understood by the fluctuations of a stiff elastic string (Le Coz and Bouchaud, 2024). By relating the exogenous shocks driving such fluctuations to the surprises in the…
I show that house prices can be modeled using machine learning (kNN and tree-bagging) and a small dataset composed of macro-economic factors (MEF), including an inflation metric (CPI), US treasury rates (10-yr), Gross Domestic Product…