Related papers: Calibration of Chaotic Models for Interest Rates

This article proposes a calibration framework for complex option pricing models that jointly fits market option prices and the term structure of variance. Calibrated models under the conventional objective function, the sum of squared…

We propose a matrix model which embodies the semiclassical approach to the problem of quantum transport in chaotic systems. Specifically, a matrix integral is presented whose perturbative expansion satisfies precisely the semiclassical…

In this paper, we develop a numerical approach based on Chaos expansions to analyze the sensitivity and the propagation of epistemic uncertainty through a queueing systems with breakdowns. Here, the quantity of interest is the stationary…

Polynomial Chaos Expansions represent a powerful tool to simulate stochastic models of dynamical systems. Yet, deriving the expansion's coefficients for complex systems might require a significant and non-trivial manipulation of the model,…

A surrogate model approximates a computationally expensive solver. Polynomial Chaos is a method to construct surrogate models by summing combinations of carefully chosen polynomials. The polynomials are chosen to respect the probability…

Certain deterministic non-linear systems may show chaotic behaviour. Time series derived from such systems seem stochastic when analyzed with linear techniques. However, uncovering the deterministic structure is important because it allows…

This paper provides a unified method for analyzing chaos synchronization of the generalized Lorenz systems. The considered synchronization scheme consists of identical master and slave generalized Lorenz systems coupled by linear state…

We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors.…

The onset of chaos and the mechanism of rotational damping are studied in an exactly soluble particle-rotor model. It is shown that the degree of chaoticity as inferred from the statistical measures is closely related to the onset of…

Chaos and nonlinear economic dynamics are addressed for a quantum coupled map lattice model of an artificial economy, with quantized supply and demand equilibrium conditions. The measure theoretic properties and the patterns that emerge in…

Polynomial chaos is a powerful technique for propagating uncertainty through ordinary and partial differential equations. Random variables are expanded in terms of orthogonal polynomials and differential equations are derived for the…

This paper presents a novel study on gas-like models for economic systems. The interacting agents and the amount of exchanged money at each trade are selected with different levels of randomness, from a purely random way to a more chaotic…

This paper considers the ideal gas-like model of trading markets, where each individual is identified as a gas molecule that interacts with others trading in elastic or money-conservative collisions. Traditionally this model introduces…

This paper considers ideal gas-like models of trading markets, where each agent is identified as a gas molecule that interacts with others trading in elastic or money-conservative collisions. Traditionally, these models introduce different…

The quadratic rough Heston model provides a natural way to encode Zumbach effect in the rough volatility paradigm. We apply multi-factor approximation and use deep learning methods to build an efficient calibration procedure for this model.…

Chaotic systems which are due to nonlinearity have attracted a great concern in the current world and chaotic models. Systems for a wide range of operation conditions have their application in almost all branches of engineering and science.…

We show how any dataset of any modality (time-series, images, sound...) can be approximated by a well-behaved (continuous, differentiable...) scalar function with a single real-valued parameter. Building upon elementary concepts from chaos…

The correlated stochastic volatility models constitute a natural extension of the Black and Scholes-Merton framework: here the volatility is not a constant, but a stochastic process correlated with the price log-return one. At present,…

The statistical properties of the quantum chaotic spectra have been studied, so far, only up to the second order correlation effects. The numerical as well as the analytical evidence that random matrix theory can successfully model the…

In recent years, a growing number of cryptosystems based on chaos have been proposed. But most of them encountered many problems such as small key space and weak security. In the present paper, a new kind of chaotic cryptosystem based on…