Related papers: Old and new approaches to LIBOR modeling
This article aims to present an elementary analytical solution to the question of the formation of a structure of differentiation of rates of return in a classical gravitation model and in a model of the dynamics of price-wage spirals.
Recently, linear regression models, such as EASE and SLIM, have shown to often produce rather competitive results against more sophisticated deep learning models. On the other side, the (weighted) matrix factorization approaches have been…
In this survey paper we discuss recent advances on short interest rate models which can be formulated in terms of a stochastic differential equation for the instantaneous interest rate (also called short rate) or a system of such equations…
Motivated by the prevalence of prediction problems in the economy, we study markets in which firms sell models to a consumer to help improve their prediction. Firms decide whether to enter, choose models to train on their data, and set…
The changing nature of power systems dynamics is challenging present practices related to modeling and study of system-level dynamic behavior. While developing new techniques and models to handle the new modeling requirements, it is also…
Limit Order Books (LOBs) serve as a mechanism for buyers and sellers to interact with each other in the financial markets. Modelling and simulating LOBs is quite often necessary for calibrating and fine-tuning the automated trading…
This paper presents a convenient framework for modeling default process and pricing derivative securities involving credit risk. The framework provides an integrated view of credit valuation adjustment by linking distance-to-default,…
We consider the use of language models whose size and accuracy are intermediate between different order n-gram models. Two types of models are studied in particular. Aggregate Markov models are class-based bigram models in which the mapping…
The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In this paper, we integrate our previous consistent theory for…
We show that, for the purpose of pricing Swaptions, the Swap rate and the corresponding Forward rates can be considered lognormal under a single martingale measure. Swaptions can then be priced as options on a basket of lognormal assets and…
The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are…
This paper is a supplement to our recent paper ``Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models". We introduce the class of regime-switching L\'evy models with memory,…
This paper focuses on state-of-the art of various approaches for the modelling of deformation behavior of soils when subjected to cyclic loading. The various approaches are broadly classified into implicit and explicit. Models within each…
Despite their simplicity, linear models perform well at time series forecasting, even when pitted against deeper and more expensive models. A number of variations to the linear model have been proposed, often including some form of feature…
We develop a modelling framework for multiple yield curves driven by continuous-state branching processes with immigration (CBI processes). Exploiting the self-exciting behavior of CBI jump processes, this approach can reproduce the…
In this paper we present elementary computations for some Markov modulated counting processes, also called counting processes with regime switching. Regime switching has become an increasingly popular concept in many branches of science. In…
In this article, we consider a Markov-modulated model with jumps for short rate dynamics. We obtain closed formulas for the term structure and forward rates using the properties of the jump-telegraph process and the expectation hypothesis.…
This article investigates parameter estimation of affine term structure models by means of the generalized method of moments. Exact moments of the affine latent process as well as of the yields are obtained by using results derived for…
We introduce a new model for describing the fluctuations of a tick-by-tick single asset price. Our model is based on Markov renewal processes. We consider a point process associated to the timestamps of the price jumps, and marks associated…
Methods of determination of constants of the Standard Model are considered. The constants values obtained now are presented and experiments for improving some values are pointed out. A few possible generalized models are considered together…