Related papers: On the range of admissible term-structures
The main goal of this paper is to present the application of structural sums, mathematical objects originating from the computational materials science, in construction of a feature space vector of 2D random composites simulated by…
Coherent lower previsions are general probabilistic models allowing incompletely specified probability distributions. However, for complete description of a coherent lower prevision -- even on finite underlying sample spaces -- an infinite…
We propose a parsimonious class of arbitrage-free, yields-only dynamic term structure models (DTSMs) with unspanned latent risks. To enable sequential estimation and forecasting, we develop a Sequential Monte Carlo framework that combines…
We develop a multi-curve term structure setup in which the modelling ingredients are expressed by rational functionals of Markov processes. We calibrate to LIBOR swaptions data and show that a rational two-factor lognormal multi-curve model…
This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are…
This paper focuses on vector-valued composite functionals, which may be nonlinear in probability. Our primary goal is to establish central limit theorems for these functionals when mixed estimators are employed. Our study is relevant to the…
We show how rate-distortion theory provides a mechanism for automated theory building by naturally distinguishing between regularity and randomness. We start from the simple principle that model variables should, as much as possible, render…
Modern engineering systems include many components of different types and functions. Verifying that these systems satisfy given specifications can be an arduous task, as most formal verification methods are limited to systems of moderate…
The structures for the expression of fault-tolerance provisions into the application software are the central topic of this dissertation. Structuring techniques provide means to control complexity, the latter being a relevant factor for the…
Machine learning models are often used to decide who receives a loan, a job interview, or a public benefit. Models in such settings use features without considering their actionability. As a result, they can assign predictions that are…
The determination of acceptability prices of contingent claims requires the choice of a stochastic model for the underlying asset price dynamics. Given this model, optimal bid and ask prices can be found by stochastic optimization. However,…
We consider the classical problem of building an arbitrage-free implied volatility surface from bid-ask quotes. We design a fast numerical procedure, for which we prove the convergence, based on the Sinkhorn algorithm that has been recently…
We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framework, we determine the structure of arbitrage-free prices.…
Free-form structural forms are widely used to design spatial structures for their irregular spatial morphology. Current free-form form-finding methods cannot adequately meet the material properties, structural requirements or construction…
We present a flexible framework for learning predictive models that approximately satisfy the equalized odds notion of fairness. This is achieved by introducing a general discrepancy functional that rigorously quantifies violations of this…
In this paper we study the dynamics and ergodic theory of certain economic models which are implicitly defined. We consider 1-dimensional and 2-dimensional overlapping generations models, a cash-in-advance model, heterogeneous markets and a…
A Levy-driven Ornstein-Uhlenbeck process is proposed to model the evolution of the risk-free rate and default intensities for the purpose of evaluating option contracts on a credit index. Time evolution in credit markets is assumed to…
In financial markets, accurately measuring the risk of future fluctuations in asset prices is of paramount importance. Studies such as Carr and Madan have shown that the expected value of the quadratic variation of log prices can be…
We introduce a new approach to modeling uncertainty based on plausibility measures. This approach is easily seen to generalize other approaches to modeling uncertainty, such as probability measures, belief functions, and possibility…
The shape of the futures term structure is essential to commodity hedgers and speculators as futures prices serve as a forecast of future spot prices. Commodity markets quotes futures prices on a selection of maturities and delivery…