Related papers: LIBOR Interpolation and the HJM Model

We propose a copula-based extension of the hidden Markov model (HMM) which applies when the observations recorded at each time in the sample are multivariate. The joint model produced by the copula extension allows decoding of the hidden…

Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and…

Recently, a class of inflation models in supergravity with gauge non-singlet matter fields as the inflaton has been proposed. It is based on a `tribrid' structure in the superpotential and on a Heisenberg symmetry for solving the…

We introduce an interpolation framework for H-infinity model reduction founded on ideas originating in optimal-H2 interpolatory model reduction, realization theory, and complex Chebyshev approximation. By employing a Loewner "data-driven"…

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.…

Due to the lack of reliable market information, building financial term-structures may be associated with a significant degree of uncertainty. In this paper, we propose a new term-structure interpolation method that extends classical spline…

We introduce a Gentzen-style framework, called layered sequent calculi, for modal logic K5 and its extensions KD5, K45, KD45, KB5, and S5 with the goal to investigate the uniform Lyndon interpolation property (ULIP), which implies both the…

We examine interpolatory model reduction methods that are well-suited for treating large scale port-Hamiltonian differential-algebraic systems in a way that is able to preserve and indeed, take advantage of the underlying structural…

In this paper we consider the pricing of options on interest rates such as caplets and swaptions in the L\'evy Libor model developed by Eberlein and \"Ozkan (2005). This model is an extension to L\'evy driving processes of the classical…

In general, matrix or tensor-valued functions are approximated using the method developed for vector-valued functions by transforming the matrix-valued function into vector form. This paper proposes a tensor-based interpolation method to…

Existence and uniqueness of solutions to the multi-dimensional mean-field Libor market model (introduced by [7]) is shown. This is used as the basis for a numerical asset-liability management (ALM) model capable of calculating future…

Interpolation methods for nonlinear finite element discretizations are commonly used to eliminate the computational costs associated with the repeated assembly of the nonlinear systems. While the group finite element formulation…

We present Position Interpolation (PI) that extends the context window sizes of RoPE-based pretrained LLMs such as LLaMA models to up to 32768 with minimal fine-tuning (within 1000 steps), while demonstrating strong empirical results on…

We give an analytic version of the injectivity theorem by using multiplier ideal sheaves, and prove some extension theorems for the adjoint bundle of dlt pairs. Moreover, by combining techniques of the minimal model program, we obtain some…

We study the Hull-White model for the term structure of interest rates in the presence of volatility uncertainty. The uncertainty about the volatility is represented by a set of beliefs, which naturally leads to a sublinear expectation and…

Predictions of inflationary schemes can be influenced by the presence of extra dimensions. This could be of particular relevance for the spectrum of gravitational waves in models where the extra dimensions provide a brane-world solution to…

This paper presents a structure-preserving model reduction approach applicable to large-scale, nonlinear port-Hamiltonian systems. Structure preservation in the reduction step ensures the retention of port-Hamiltonian structure which, in…

The Interbank Offered Rate is a vital benchmark interest rate in the financial markets of every country to which financial contracts are tied. In the light of the recent LIBOR manipulation incident, this paper seeks to address the fear that…

For a homological functor from a triangulated category to an abelian category satisfying some technical assumptions we construct a tower of interpolation categories. These are categories over which the functor factorizes and which capture…

Interbank markets are fundamental for bank liquidity management. In this paper, we introduce a model of interbank trading with memory. Our model reproduces features of preferential trading patterns in the e-MID market recently empirically…