Related papers: LIBOR Interpolation and the HJM Model

We investigate the convergence of entire Lagrange interpolations and of Hermite interpolations of exponential type in weighted $L^p$-spaces on the real line. The weights are reciprocals of entire functions and depend on the type and may be…

Large language models (LLMs) demonstrate outstanding performance in various tasks in machine learning and have thus become one of the most important workloads in today's computing landscape. However, deploying LLM inference poses challenges…

We prove limit theorems for the super-replication cost of European options in a Binomial model with friction. The examples covered are markets with proportional transaction costs and the illiquid markets. The dual representation for the…

In this paper, we address the model reduction problem for linear hybrid systems via the interconnection-based technique called moment matching. We consider two classical interconnections, namely the direct and swapped interconnections, in…

We determine the exact Borel class of the points whose iterates under $\exp(z)+a$ tend to infinity. We also prove that the sets of non-escaping Julia points for many of these functions are topologically equivalent.

For a complete Riemannian manifold $M$ with an (1,1)-elliptic Codazzi self-adjoint tensor field $A$ on it, we use the divergence type operator ${L_A}(u): = div(A\nabla u)$ and an extension of the Ricci tensor to extend some major comparison…

Model approximations are common practice when estimating structural or quasi-structural models. The paper considers the econometric properties of estimators that utilize projections to reimpose information about the exact model in the form…

In this thesis, we provide an initial investigation into bounds for topological entropy of switched linear systems. Entropy measures, roughly, the information needed to describe the behavior of a system with finite precision on finite time…

Temporal Point Processes (TPP) with partial likelihoods involving a latent structure often entail an intractable marginalization, thus making inference hard. We propose a novel approach to Maximum Likelihood Estimation (MLE) involving…

In this paper we introduce a flexible HJM-type framework that allows for consistent modelling of intraday, spot, futures, and option prices. This framework is based on stochastic processes with economic interpretations and consistent with…

This paper develops a general methodology to connect propositional and first-order interpolation. In fact, the existence of suitable skolemizations and of Herbrand expansions together with a propositional interpolant suffice to construct a…

We develop a theory of extrapolation for weights that satisfy a generalized reverse H\"older inequality in the scale of Orlicz spaces. This extends previous results by Auscher and Martell [2] on limited range extrapolation. As an…

A hidden Markov model (HMM) is said to have path-mergeable states if for any two states i,j there exists a word w and state k such that it is possible to transition from both i and j to k while emitting w. We show that for a finite HMM with…

This paper advances interest rate modeling in the post-LIBOR era by introducing rough stochastic volatility into the Forward Market Model (FMM). We establish a rigorous asymptotic expansion of swaption implied volatility, connecting the FMM…

Algebraic convergences rates of (iterated) Tikhonov regularization for linear inverse problems in Hilbert spaces are characterized by the membership of the exact solution to intermediate spaces produced by the K-method of real…

We introduce a multiple curve framework that combines tractable dynamics and semi-analytic pricing formulas with positive interest rates and basis spreads. Negatives rates and positive spreads can also be accommodated in this framework. The…

We review the prospects for detecting tensor modes generated during inflation by CMB polarization experiments and by searching for a stochastic gravitational wave background with laser interferometers in space. We tackle the following two…

Two of the most useful tools in topological combinatorics are the nerve lemma and discrete Morse theory. In this note we introduce a theorem that interpolates between them and allows decompositions of complexes into non-contractible pieces…

This article develops a general theory for minimum norm interpolating estimators and regularized empirical risk minimizers (RERM) in linear models in the presence of additive, potentially adversarial, errors. In particular, no conditions on…

We consider a consumption-investment problem (both on finite and infinite time horizon) in which the investor has an access to the bond market. In our approach prices of bonds with different maturities are described by the general HJM…