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The contributions of this paper are twofold: we define and investigate the properties of a short rate model driven by a general Gaussian Volterra process and, after defining precisely a notion of convexity adjustment, derive explicit…

In fixed income sector, the yield curve is probably the most observed indicator by the market for trading and fifinancing purposes. A yield curve plots interest rates across different contract maturities from short end to as long as 30…

This article establishes several remarkably simple identities relating certain metric invariants of level curves of real and complex functions. In particular, we relate lengths of level curves to their curvature and to the gradient field of…

We present a family of models for the term structure of interest rates which describe the interest rate curve as a stochastic process in a Hilbert space. We start by decomposing the deformations of the term structure into the variations of…

We discuss the Morse estimates for the curvature of several metrics on Semple weighted projective bundle over a projective variety. Following Demailly works on holomorphic Morse inequalities we show an analogue of his results along the…

This paper presents a brief study on connections on fiber, principal and vector smooth bundles as well as some relations with their curvatures.

We present a detailed analysis of interest rate derivatives valuation under credit risk and collateral modeling. We show how the credit and collateral extended valuation framework in Pallavicini et al (2011), and the related collateralized…

The starting assumptions to study the convergence and complexity of gradient-type methods may be the smoothness (also called Lipschitz continuity of gradient) and the strong convexity. In this note, we revisit these two basic properties…

In economic studies and popular media, interest rates are routinely cited as a major factor behind commodity price fluctuations. At the same time, the transmission channels are far from transparent, leading to long-running debates on the…

I present a short review of models for transverse-momentum distributions and transversity, with a particular attention on general features common to many models. I compare some model results with experimental extractions. I discuss the…

We study different notions of slope of a vector bundle over a smooth projective curve with respect to ampleness and affineness in order to apply this to tight closure problems. This method gives new degree estimates from above and from…

This paper offers a new class of models of the term structure of interest rates. We allow each instantaneous forward rate to be driven by a different stochastic shock, constrained in such a way as to keep the forward rate curve continuous.…

Convexity of a yield function (or phase-transformation function) and its relations to convexity of the corresponding yield surface (or phase-transformation surface) is essential to the invention, definition and comparison with experiments…

The crisis that affected financial markets in the last years leaded market practitioners to revise well known basic concepts like the ones of discount factors and forward rates. A single yield curve is not sufficient any longer to describe…

There are several interrelated notions of discrete curvature on graphs. Many approaches utilize the optimal transportation metric on its probability simplex or the distance matrix of the graph. In this survey article, we compute formulas…

This manuscript introduces deep learning models that simultaneously describe the dynamics of several yield curves. We aim to learn the dependence structure among the different yield curves induced by the globalization of financial markets…

We study the problems of consistency and of the existence of finite-dimensional realizations for multi-curve interest rate models of Heath-Jarrow-Morton type, generalizing the geometric approach developed by T. Bj\"ork and co-authors in the…

This paper extends a number of known results on slope-semistable sheaves from the classical case to the setting where polarisations are given by movable curve classes. As applications, we obtain new flatness results for reflexive sheaves on…

We present a systematic study on the linear convergence rates of the powers of (real or complex) matrices. We derive a characterization when the optimal convergence rate is attained. This characterization is given in terms of…

We propose a rate equation approach to compute two vertex correlations in scale-free growing network models based in the preferential attachment mechanism. The formalism, based on previous work of Szab\'o \textit{et al.} [Phys. Rev. E…