Related papers: Affine Models
In this paper we will first introduce the notion of affine structures on a ringed space and then obtain several properties. Affine structures on a ringed space, arising mainly from complex analytical spaces of algebraic schemes over number…
Alternative risk-free rates (RFRs) play a central role in the reform of interest rate benchmarks. We study a model for RFRs driven by a general affine process. Under minimal assumptions, we derive explicit valuation formulas for…
We study links between first-order formulas and arbitrary properties for families of theories, classes of structures and their isomorphism types. Possibilities for ranks and degrees for formulas and theories with respect to given properties…
We introduce the notion of amenability for affine algebras. We characterize amenability by Folner-sequences, paradoxicality and the existence of finitely invariant dimension-measures. Then we extend the results of Rowen on ranks, from…
In this work we consider one-dimensional generalized affine processes under the paradigm of Knightian uncertainty (so-called non-linear generalized affine models). This extends and generalizes previous results in Fadina et al. (2019) and…
We study first-order model checking, by which we refer to the problem of deciding whether or not a given first-order sentence is satisfied by a given finite structure. In particular, we aim to understand on which sets of sentences this…
In recent years, methods from network science are gaining rapidly interest in economics and finance. A reason for this is that in a globalized world the interconnectedness among economic and financial entities are crucial to understand and…
Abstract argumentation frameworks (AFs) are one of the most studied formalisms in AI. In this work, we introduce a certain subclass of AFs which we call compact. Given an extension-based semantics, the corresponding compact AFs are…
Various feature descriptions are being employed in logic programming languages and constrained-based grammar formalisms. The common notational primitive of these descriptions are functional attributes called features. The descriptions…
We derive an explicit asymptotic approximation for the implied volatilities of Call options written on bonds assuming the short-rate is described by an affine short-rate model. For specific affine short-rate models, we perform numerical…
In this article, we study parameterized complexity theory from the perspective of logic, or more specifically, descriptive complexity theory. We propose to consider parameterized model-checking problems for various fragments of first-order…
Nowadays data sets are available in very complex and heterogeneous ways. Mining of such data collections is essential to support many real-world applications ranging from healthcare to marketing. In this work, we focus on the analysis of…
In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Especially for illiquid or even highly liquid but also highly…
In this article, we explore a class of tractable interest rate models that have the property that the price of a zero-coupon bond can be expressed as a polynomial of a state diffusion process. Our results include a classification of all…
We focus on a branch of region-based spatial logics dealing with affine geometry. The research on this topic is scarce: only a handful of papers investigate such systems, mostly in the case of the real plane. Our long-term goal is to…
I study definable sets in affine continuous logic. Let $T$ be an affine theory. After giving some general results, it is proved that if $T$ has a first order model, its extremal theory is a complete first order theory and first order…
Declarative approaches to process modeling are regarded as well suited for highly volatile environments as they provide a high degree of flexibility. However, problems in understanding and maintaining declarative business process models…
We introduce the class of affine forward variance (AFV) models of which both the conventional Heston model and the rough Heston model are special cases. We show that AFV models can be characterized by the affine form of their cumulant…
The goal of this paper is to show that generalizing the notion of frequent patterns can be useful in extending association analysis to more complex higher order patterns. To that end, we describe a general framework for modeling a complex…
We give an introduction to the structure theory of extended affine Lie algebras, which provide a common framework for finite-dimensional semisimple, affine and toroidal Lie algebras. The notes are based on a lecture series given during the…