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In this paper, the relevance of the Feller conditions in discrete time macro-finance term structure models is investigated. The Feller conditions are usually imposed on a continuous time multivariate square root process to ensure that the…
Building upon factor decomposition to overcome the curse of dimensionality inherent in multivariate volatility processes, we develop a factor model-based multivariate stochastic volatility (fMSV) framework. We propose a two-stage estimation…
We study the parameter estimation for parabolic, linear, second-order, stochastic partial differential equations (SPDEs) observing a mild solution on a discrete grid in time and space. A high-frequency regime is considered where the mesh of…
Conditions of Stability for explicit finite difference scheme and some results of numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon are provided. It seems to…
We consider a multidimensional Ito semimartingale regularly sampled on [0,t] at high frequency 1/\Delta_n, with \Delta_n going to zero. The goal of this paper is to provide an estimator for the integral over [0,t] of a given function of the…
Correlations between asset returns are important in many financial applications. In recent years, multivariate volatility models have been used to describe the time-varying feature of the correlations. However, the curse of dimensionality…
We derive slow-roll conditions for a scalar field which is non-minimally coupled with gravity in a consistent manner and express spectral indices of scalar/tensor perturbations in terms of the slow-roll parameters. The conformal invariance…
We statistically analyse a multivariate HJM diffusion model with stochastic volatility. The volatility process of the first factor is left totally unspecified while the volatility of the second factor is the product of an unknown process…
We derive conditions under which a general nonlinear mechanical system can be exactly reduced to a lower-dimensional model that involves only the most flexible degrees of freedom. This Slow-Fast Decomposition (SFD) enslaves exponentially…
We study multidimensional stochastic volatility models in which the volatility process is a positive continuous function of a continuous multidimensional Volterra process that can be not self-similar. The main results obtained in this paper…
Given a functional for a one-dimensional physical system, a classical problem is to minimize it by finding stationary solutions and then checking the positive definiteness of the second variation. Establishing the positive definiteness is,…
Strong Feller property and irreducibility are study for a class of non-linear monotone stochastic partial differential equations with multiplicative noise. H\"older continuity of the associated Markov semigroups are discussed in some…
We develop a multi-factor stochastic volatility Libor model with displacement, where each individual forward Libor is driven by its own square-root stochastic volatility process. The main advantage of this approach is that, maturity-wise,…
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…
We analyse a second-order SPDE model in multiple space dimensions and develop estimators for the parameters of this model based on discrete observations of a solution in time and space on a bounded domain. While parameter estimation for one…
We calculate the 2-triplon contribution to the dynamic structure factor of the 2-dimensional Shastry-Sutherland model, realized in SrCu2(BO3)2, by means of perturbative continuous unitary transformations. For realistic parameters we find…
We consider instabilities of a single mode with finite wavenumber in inversion symmetric spatially one dimensional systems, where the character of the bifurcation changes from sub- to supercritical behaviour. Starting from a general…
To assess the strength of nematic fluctuations with a finite wave vector in a two-dimensional metal, we compute the static d-wave polarization function for tight-binding electrons on a square lattice. At Van Hove filling and zero…
The subject of this thesis is the rigorous construction of QFT models with nontrivial interaction. Two different approaches in the framework of AQFT are discussed. On the one hand, an inverse scattering problem is considered. A given…
In this article we show how to analyze the covariation of bond prices nonparametrically and robustly, staying consistent with a general no-arbitrage setting. This is, in particular, motivated by the problem of identifying the number of…