Related papers: LIBOR Interpolation and the HJM Model
Large Language Models (LLMs) have shown remarkable ability in solving complex tasks, making them a promising tool for enhancing tabular learning. However, existing LLM-based methods suffer from high resource requirements, suboptimal…
Linear properties are ubiquitous in the representations of language models; however, testing them experimentally remains a challenging task. This work focuses on relational linearity: the hypothesis that, for a fixed relation (e.g.,…
We study tensors on Lie groupoids suitably compatible with the groupoid structure, called {\em multiplicative}. Our main result gives a complete description of these objects only in terms of infinitesimal data. Special cases include the…
\begin{abstract} The aim of this paper is to study the spanning power of options in a static financial market that allows non-integrable assets. Our findings extend and unify the results in [8,9,18] for $L_p$-models. We also apply the…
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…
We consider discrete time Heath-Jarrow-Morton type interest rate models, where the interest rate curves are driven by a geometric spatial autoregression field. Strong consistency and asymptotic normality of the maximum likelihood estimators…
We study the Kane-Mele-Hubbard model with an additional inversion-symmetry-breaking term. Using the topological Hamiltonian approach, we calculate the $\mathbb{Z}_2$ invariant of the system as function of spin-orbit coupling, Hubbard…
In this paper, we focus on model reduction of large-scale bilinear systems. The main contributions are threefold. First, we introduce a new framework for interpolatory model reduction of bilinear systems. In contrast to the existing methods…
This paper studies the high-dimensional mixed linear regression (MLR) where the output variable comes from one of the two linear regression models with an unknown mixing proportion and an unknown covariance structure of the random…
We present a HJM approach to the projection of multiple yield curves developed to capture the volatility content of historical term structures for risk management purposes. Since we observe the empirical data at daily frequency and only for…
This thesis is devoted to the study of affine processes and their applications in financial mathematics. In the first part we consider the theory of time-inhomogeneous affine processes on general state spaces. We present a concise setup for…
We study interpolating sequences of $d$-tuples of matrices, by looking at the commuting and the non-commuting case separately. In both cases, we will give a characterization of such sequences in terms of separation conditions on suitable…
The goal of this paper is to specify dynamic term structure models with discrete tenor structure for credit portfolios in a top-down setting driven by time-inhomogeneous L\'evy processes. We provide a new framework, conditions for absence…
We introduce new methods for integrating nonlinear differential equations on low-rank manifolds. These methods rely on interpolatory projections onto the tangent space, enabling low-rank time integration of vector fields that can be…
I present the technique which can analyse some interest rate models: Constantinides-Ingersoll, CIR-model, geometric CIR and Geometric Brownian Motion. All these models have the unified structure of Whittaker function. The main focus of this…
We introduce and investigate the notion of uniform Lyndon interpolation property (ULIP) which is a strengthening of both uniform interpolation property and Lyndon interpolation property. We prove several propositional modal logics including…
We develop a method that we call \emph{omission of intervals}, for establishing topological properties of subsets of the real line based on their combinatorial structure. Using this method, we obtain conceptual proofs of the fundamental…
An interpolation method for discretising continuous-time Linear Time Invariant (LTI) models is proposed in this paper. It consists first in using the Loewner interpolation framework on a specific set of frequency data and secondly to…
We introduce efficient numerical methods for generic HJM equations of interest rate theory by means of high-order weak approximation schemes. These schemes allow for QMC implementations due to the relatively low dimensional integration…
The versatility of data-driven approximation by interpolatory methods, originally settled for model approximation purpose, is illustrated in the context of linear controller design and stability analysis of irrational models. To this aim,…