Related papers: Old and new approaches to LIBOR modeling

Markov models lie at the interface between statistical independence in a probability distribution and graph separation properties. We review model selection and estimation in directed and undirected Markov models with Gaussian…

Estimation mainly for two classes of popular models, single-index and partially linear single-index models, is studied in this paper. Such models feature nonstationarity. Orthogonal series expansion is used to approximate the unknown…

We discuss the relevance of the recent Machine Learning (ML) literature for economics and econometrics. First we discuss the differences in goals, methods and settings between the ML literature and the traditional econometrics and…

The paper introduces a generalization for known probabilistic models such as log-linear and graphical models, called here multiplicative models. These models, that express probabilities via product of parameters are shown to capture…

In this article we propose a study of market models starting from a set of axioms, as one does in the case of risk measures. We define a market model simply as a mapping from the set of adapted strategies to the set of random variables…

We introduce Markov substitute processes, a new model at the crossroad of statistics and formal grammars, and prove its main property : Markov substitute processes with a given support form an exponential family.

Recent news cast doubts on London Interbank Offered Rate (LIBOR) integrity. Given its economic importance and the delay with which authorities realize about this situation, we aim to find an objective method in order to detect departures in…

In this paper we provide a conceptual overview of latent variable models within a probabilistic modeling framework, an overview that emphasizes the compositional nature and the interconnectedness of the seemingly disparate models commonly…

This project attempts to address the problem of asset pricing in a financial market, where the interest rates and volatilities exhibit regime switching. This is an extension of the Black-Scholes model. Studies of Markov-modulated regime…

Machine learning methods have garnered increasing interest among actuaries in recent years. However, their adoption by practitioners has been limited, partly due to the lack of transparency of these methods, as compared to generalized…

The manipulation of LIBOR by a group of banks became one of the major blows to the remaining confidence in financial industry. Yet, despite an enormous amount of popular literature on the subject, rigorous time-series studies are few. In my…

This article presents a generic framework for modeling the dynamics of forward curves in commodity market as commodity derivatives are typically traded by futures or forwards. We have theoretically demonstrated that commodity prices are…

We propose a general framework for modeling multiple yield curves which have emerged after the last financial crisis. In a general semimartingale setting, we provide an HJM approach to model the term structure of multiplicative spreads…

Accurate option pricing is essential for effective trading and risk management in financial markets, yet it remains challenging due to market volatility and the limitations of traditional models like Black-Scholes. In this paper, we…

We propose an alternative approach on the existence of affine realizations for HJM interest rate models. It is applicable to a wide class of models, and simultaneously it is conceptually rather comprehensible. We also supplement some known…

Discount is the difference between the face value of a bond and its present value. I propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath--Jarrow--Morton framework for forward rates. I…

The last two decades have seen major developments in interpolatory methods for model reduction of large-scale linear dynamical systems. Advances of note include the ability to produce (locally) optimal reduced models at modest cost; refined…

Reference prices have long been studied in applied economics and business research. One of the classic formulations of the reference price is in terms of an iterative function of past prices. There are a number of limitations of such a…

We discuss the idea of a ``family of L-functions'' and describe various methods which have been used to make predictions about L-function families. The methods involve a mixture of random matrix theory and heuristics from number theory.…

Affine processes play an important role in mathematical finance and other applied areas due to their tractable structure. In the present article, we derive probabilistic representations and integration by parts (IBP) formulas for…