Related papers: On multicurve models for the term structure
Overnight rates, such as the SOFR (Secured Overnight Financing Rate) in the US, are central to the current reform of interest rate benchmarks. A striking feature of overnight rates is the presence of jumps and spikes occurring at…
Estimating the covariance of asset returns, i.e., the risk model, is a key component of financial portfolio construction and evaluation. Most risk modeling approaches produce a factor model that decomposes the asset variability into two…
In stochastic multi-factor commodity models, it is often the case that futures prices are explained by two latent state variables which represent the short and long term stochastic factors. In this work, we develop the family of stochastic…
For many shape analysis problems in computer vision and scientific imaging (e.g., computational anatomy, morphological cytometry), the ability to align two closed curves in the plane is crucial. In this paper, we concentrate on rigidly…
We describe a new framework for fitting jump models to a sequence of data. The key idea is to alternate between minimizing a loss function to fit multiple model parameters, and minimizing a discrete loss function to determine which set of…
In affine formation control problems, the construction of the framework with universal rigidity and affine localizability is a critical prerequisite, but it has not yet been well addressed, especially when additional agents join the…
Multiple linear regression is a basic statistical tool, yielding a prediction formula with the input variables, slopes, and an intercept. But is it really easy to see which terms have the largest effect, or to explain why the prediction of…
The discrete-time multifactor Vasi\v{c}ek model is a tractable Gaussian spot rate model. Typically, two- or three-factor versions allow one to capture the dependence structure between yields with different times to maturity in an…
Long term optimal investment problems are studied in a factor model with matrix valued state variables. Explicit parameter restrictions are obtained under which, for an isoelastic investor, the finite horizon value function and optimal…
We discuss and analyze a neural network architecture, that enables learning a model class for a set of different data samples rather than just learning a single model for a specific data sample. In this sense, it may help to reduce the…
We develop and apply an approach for analyzing multi-curve data where each curve is driven by a latent state process. The state at any particular point determines a smooth function, forcing the individual curve to switch from one function…
Electricity load forecasting enables the grid operators to optimally implement the smart grid's most essential features such as demand response and energy efficiency. Electricity demand profiles can vary drastically from one region to…
We propose a fast and accurate numerical method for pricing European swaptions in multi-factor Gaussian term structure models. Our method can be used to accelerate the calibration of such models to the volatility surface. The pricing of an…
Modeling and characterizing multiple factors is perhaps the most important step in achieving excess returns over market benchmarks. Both academia and industry are striving to find new factors that have good explanatory power for future…
Substructural type systems, such as affine (and linear) type systems, are type systems which impose restrictions on copying (and discarding) of variables, and they have found many applications in computer science, including quantum…
Phase curve of an open loop system is flat in nature if the derivative of phase with respect to frequency is zero. With a flat phase curve, the corresponding closed-loop system exhibits an iso-damped property i.e. maintains constant…
Level, slope, and curvature are three commonly-believed principal components in interest rate term structure and are thus widely used in modeling. This paper characterizes the heterogeneity of how misspecified such models are through time.…
A large class of trading strategies focus on opportunities offered by the yield curve. In particular, a set of yield curve trading strategies are based on the view that the yield curve mean-reverts. Based on these strategies' positive…
In a simplified setting, we show how to price invoice non-recourse factoring taking into account not only the credit worthiness of the debtor but also the assignor's one, together with the default correlation between the two. Indeed, the…
We present a function-valued stochastic volatility model designed to capture the continuous-time evolution of forward curves in fixed-income or commodity markets. The dynamics of the (logarithmic) forward curves are defined by a…