Related papers: On multicurve models for the term structure
We develop a stochastic volatility framework for modeling multiple currencies based on CBI-time-changed L\'evy processes. The proposed framework captures the typical risk characteristics of FX markets and is coherent with the symmetries of…
It is well known that traded foreign exchange forwards and cross currency swaps (CCS) cannot be priced applying overnight cash and carry arguments as they imply absence of funding advantage of one currency to the other. This paper proposes…
Model order reduction (MOR) methods that are designed to preserve structural features of a given full order model (FOM) often suffer from a lower accuracy when compared to their non-structure-preserving counterparts. In this paper, we…
Many subsurface engineering applications involve tight-coupling between fluid flow, solid deformation, fracturing, and similar processes. To better understand the complex interplay of different governing equations, and therefore design…
This paper introduces a short rate model in continuous time that adds one or more memory (delay) components to the Merton model (Merton 1970, 1973) or the Vasi\v{c}ek model (Vasi\v{c}ek 1977) for the short rate. The distribution of the…
We consider core-periphery structured graphs, which are graphs with a group of densely and sparsely connected nodes, respectively, referred to as core and periphery nodes. The so-called core score of a node is related to the likelihood of…
Learning a graph topology to reveal the underlying relationship between data entities plays an important role in various machine learning and data analysis tasks. Under the assumption that structured data vary smoothly over a graph, the…
The increasing need for rapid recalibration of option pricing models in dynamic markets places stringent computational demands on data generation and valuation algorithms. In this work, we propose a hybrid algorithmic framework that…
Farin proposed a method for designing Bezier curves with monotonic curvature and torsion. Such curves are relevant in design due to their aesthetic shape. The method relies on applying a matrix M to the first edge of the control polygon of…
We introduce a multi-factor stochastic volatility model based on the CIR/Heston stochastic volatility process. In order to capture the Samuelson effect displayed by commodity futures contracts, we add expiry-dependent exponential damping…
In this paper we are interested in term structure models for pricing zero coupon bonds under rapidly oscillating stochastic volatility. We analyze solutions to the generalized Cox-Ingersoll-Ross two factors model describing clustering of…
The Secured Overnight Funding Rate (SOFR) is becoming the main Risk-Free Rate benchmark in US dollars, thus interest rate term structure models need to be updated to reflect the key features exhibited by the dynamics of SOFR and the forward…
We propose a new framework for modeling stochastic local volatility, with potential applications to modeling derivatives on interest rates, commodities, credit, equity, FX etc., as well as hybrid derivatives. Our model extends the…
We construct a no-arbitrage model of bond prices where the long bond is used as a numeraire. We develop bond prices and their dynamics without developing any model for the spot rate or forward rates. The model is arbitrage free and all…
Cryptocurrency trading represents a nascent field of research, with growing adoption in industry. Aided by its decentralised nature, many metrics describing cryptocurrencies are accessible with a simple Google search and update frequently,…
Multi-view learning leverages correlations between different sources of data to make predictions in one view based on observations in another view. A popular approach is to assume that, both, the correlations between the views and the…
A set of multi-homogeneous equations for the Jacobian of a genus two curve is given. The approach used is to write down affine equations for the Jacobian minus various tranlations of the Theta-divisor by [2]-division points, and then to…
Most methods for modelling dynamics posit just two time scales: a fast and a slow scale. But many applications, including many in continuum mechanics, possess a wide variety of space-time scales; often they possess a continuum of space-time…
This article presents a generic framework for modeling the dynamics of forward curves in commodity market as commodity derivatives are typically traded by futures or forwards. We have theoretically demonstrated that commodity prices are…
We propose a novel end-to-end trainable framework for the graph decomposition problem. The minimum cost multicut problem is first converted to an unconstrained binary cubic formulation where cycle consistency constraints are incorporated…