Related papers: Old and new approaches to LIBOR modeling
Interpretability analysis methods for artificial intelligence models, such as LIME and SHAP, are widely used, though they primarily serve as post-model for analyzing model outputs. While it is commonly believed that the transparency and…
Collateralization with daily margining has become a new standard in the post-crisis market. Although there appeared vast literature on a so-called multi-curve framework, a complete picture of a multi-currency setup with cross-currency basis…
The use of lightweight formal methods (LFM) for the development of industrial applications has become a major trend. Although the term "lightweight formal methods" has been used for over ten years now, there seems to be no common agreement…
We develop a multi-curve term structure setup in which the modelling ingredients are expressed by rational functionals of Markov processes. We calibrate to LIBOR swaptions data and show that a rational two-factor lognormal multi-curve model…
We present a detailed analysis of interest rate derivatives valuation under credit risk and collateral modeling. We show how the credit and collateral extended valuation framework in Pallavicini et al (2011), and the related collateralized…
We introduce a Markov-functional approach to construct local volatility models that are calibrated to a discrete set of marginal distributions. The method is inspired by and extends the volatility interpolation of Bass (1983) and Conze and…
In this paper, we establish a market model for the term structure of forward inflation rates based on the risk-neutral dynamics of nominal and real zero-coupon bonds. Under the market model, we can price inflation caplets as well as…
We formulate a forward inflation index model with multi-factor volatility structure featuring a parametric form that allows calibration to correlations between indices of different tenors observed in the market. Assuming the nominal…
The idea of forward rates stems from interest rate theory. It has natural connotations to transition rates in multi-state models. The generalization from the forward mortality rate in a survival model to multi-state models is non-trivial…
We calibrate and test various variants of field theory models of the interest rate with data from eurodollars futures. A model based on a simple psychological factor are seen to provide the best fit to the market. We make a model…
Classical time series models have serious difficulties in modeling and forecasting the enormous fluctuations of electricity spot prices. Markov regime switch models belong to the most often used models in the electricity literature. These…
New theoretical approaches about forecasting stock markets are proposed. A mathematization of the stock market in terms of arithmetical relations is given, where some simple (non-differential, non-fractal) expressions are also suggested as…
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…
Load forecasts have become an integral part of energy security. Due to the various influencing factors that can be considered in such a forecast, there is also a wide range of models that attempt to integrate these parameters into a system…
This article presents a survey of work on lifted graphical models. We review a general form for a lifted graphical model, a par-factor graph, and show how a number of existing statistical relational representations map to this formalism. We…
We develop a method using parameterized linear equations to define trading mechanisms in market design models. Our method adeptly addresses challenges arising from factors such as complex endowments or coarse priorities, while offering…
In this paper we describe market in projective geometry language and give definition of a matrix of market rate, which is related to the matrix rate of return and the matrix of judgements in the Analytic Hierarchy Process (AHP). We use…
This is a review of current research in Markov chains as toric statistical models. Its content is mixture of background information, results from the relevant recent literature, new results, and work in progress.
This paper provides a review of model selection and model averaging methods for multinomial probit models estimated using the MACML approach. The proposed approaches are partitioned into test based methods (mostly derived from the…
The paper discusses a path-wise approach to stock price modelling.