Related papers: Affine Models
Session types capture precise protocol structure in concurrent programming, but do not specify properties of the exchanged values beyond their basic type. Refinement types are a form of dependent types that can address this limitation,…
The question of the volatility roughness is interpreted in the framework of a data-reconstructed fractional volatility model, where volatility is driven by fractional noise. Some examples are worked out and also, using Malliavin calculus…
We present a topological framework for finding low-flop algorithms for evaluating element stiffness matrices associated with multilinear forms for finite element methods posed over straight-sided affine domains. This framework relies on…
This article formalizes an abstraction of input/output relations, based on parameterized zonotopes, which we call affine sets. We describe the abstract transfer functions and prove their correctness, which allows the generation of accurate…
The problem of using structured methods to represent knowledge is well-known in conceptual modeling and has been studied for many years. It has been proven that adopting modeling patterns represents an effective structural method. Patterns…
Graphical models have been widely used in applications ranging from medical expert systems to natural language processing. Their popularity partly arises since they are intuitive representations of complex inter-dependencies among variables…
Pricing extremely long-dated liabilities market consistently deals with the decline in liquidity of financial instruments on long maturities. The aim is to quantify the uncertainty of rates up to maturities of a century. We assume that the…
Long term optimal investment problems are studied in a factor model with matrix valued state variables. Explicit parameter restrictions are obtained under which, for an isoelastic investor, the finite horizon value function and optimal…
Specification theories as a tool in model-driven development processes of component-based software systems have recently attracted a considerable attention. Current specification theories are however qualitative in nature, and therefore…
This paper presents a novel possible worlds semantics, designed to elucidate the underpinnings of ultrafinitism. By constructing a careful modification of the well-known Kripke models for inuitionistic logic, we seek to extend our…
We introduce the notions of almost positively closed models and positive strong amalgamation property. We study the fundamental properties of these notions and develop some interactions between them.
We use fast-growing finite and infinite sequences of natural numbers and more complicated constructs to define models of hypercomputation and interpret non-arithmetic predicates, with the strongest extensions reaching full second order…
Latent factor models are increasingly popular for modeling multi-relational knowledge graphs. By their vectorial nature, it is not only hard to interpret why this class of models works so well, but also to understand where they fail and how…
Traditional pattern mining algorithms generally suffer from a lack of flexibility. In this paper, we propose a SAT formulation of the problem to successfully mine frequent flexible sequences occurring in transactional datasets. Our…
We present a function-valued stochastic volatility model designed to capture the continuous-time evolution of forward curves in fixed-income or commodity markets. The dynamics of the (logarithmic) forward curves are defined by a…
Long-sequence transformers are designed to improve the representation of longer texts by language models and their performance on downstream document-level tasks. However, not much is understood about the quality of token-level predictions…
We study pricing and hedging under parameter uncertainty for a class of Markov processes which we call generalized affine processes and which includes the Black-Scholes model as well as the constant elasticity of variance (CEV) model as…
The Convolution and Master equations governing the time behavior of the term structure of Interest Rates are set up both for continuous variables and for their discretised forms. The notion of Seed is introduced. The discretised theoretical…
We classify affine varieties with an action of a connected, reductive algebraic group such that the group is isomorphic to an open orbit in the variety. This is accomplished by associating a set of one-parameter subgroups of the group to…
Feature construction can contribute to comprehensibility and performance of machine learning models. Unfortunately, it usually requires exhaustive search in the attribute space or time-consuming human involvement to generate meaningful…