Related papers: Classification of interest rate curves using Self-…
The discrete-time multifactor Vasi\v{c}ek model is a tractable Gaussian spot rate model. Typically, two- or three-factor versions allow one to capture the dependence structure between yields with different times to maturity in an…
A class of random graphs is introduced and studied. The graphs are constructed in an algorithmic way from five motifs which were found in [Milo R., Shen-Orr S., Itzkovitz S., Kashtan N., Chklovskii D., Alon U., Science, 2002, 298, 824-827].…
The hypothesis that committed revolving credit lines with fixed spreads can provide firms with interest rate insurance is a standard feature of models on these credit facilities' interest rate structure. Nevertheless, this hypothesis has…
Cartograms combine statistical and geographical information in thematic maps, where areas of geographical regions (e.g., countries, states) are scaled in proportion to some statistic (e.g., population, income). Cartograms make it possible…
The action of ring automorphisms of the polynomial ring in two variables over the real numbers on real plane curves is considered. The orbits containing degree-three polynomials are computed, with one representative per orbit being…
Due to the chronic nature of diabetes, patient self-care factors play an important role in any treatment plan. In order to understand the behaviour of patients in response to medical advice on self-care, clinicians often conduct…
The volatility features of financial data would considerably change in different periods, that is one of the main factors affecting the applications of machine learning in quantitative trading. Therefore, to effectively distinguish…
Macroeconomic factors have a critical impact on banking credit risk, which cannot be directly controlled by banks, and therefore, there is a need for an early credit risk warning system based on the macroeconomy. By comparing different…
ROC curves and cost curves are two popular ways of visualising classifier performance, finding appropriate thresholds according to the operating condition, and deriving useful aggregated measures such as the area under the ROC curve (AUC)…
We classify isomorphism-invariant random digraphs according to where randomness resides, namely, arcs, vertices, and vertices and arcs together which in turn yield arc random digraphs (ARD), vertex random digraphs (VRD) and vertex-arc…
We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with different underlying rate…
Learning curves are a measure for how the performance of machine learning models improves given a certain volume of training data. Over a wide variety of applications and models it was observed that learning curves follow -- to a large…
Decentralized Finance (DeFi) money markets have seen explosive growth in recent years, with billions of dollars borrowed in various cryptocurrency assets. Key to the safety of money markets is the implementation of interest rates that…
Texture is one of the most important properties of visual surface that helps in discriminating one object from another or an object from background. The self-organizing map (SOM) is an excellent tool in exploratory phase of data mining. It…
We develop a general term structure framework taking stochastic discontinuities explicitly into account. Stochastic discontinuities are a key feature in interest rate markets, as for example the jumps of the term structures in…
Interest-rate risk is a key factor for property-casualty insurer capital. P&C companies tend to be highly leveraged, with bond holdings much greater than capital. For GAAP capital, bonds are marked to market but liabilities are not, so…
Divergences or similarity measures between probability distributions have become a very useful tool for studying different aspects of statistical objects such as time series, networks and images. Notably not every divergence provides…
The analytical tractability of affine (short rate) models, such as the Vasicek and the Cox-Ingersoll-Ross models, has made them a popular choice for modelling the dynamics of interest rates. However, in order to account properly for the…
Many applications of AI involve scoring individuals using a learned function of their attributes. These predictive risk scores are then used to take decisions based on whether the score exceeds a certain threshold, which may vary depending…
High order splitting schemes with complex timesteps are applied to Kolmogorov backward equations stemming from stochastic differential equations in Stratonovich form. In the setting of weighted spaces, the necessary analyticity of the split…