Related papers: On the range of admissible term-structures
Bond rating Transition Probability Matrices (TPMs) are built over a one-year time-frame and for many practical purposes, like the assessment of risk in portfolios or the computation of banking Capital Requirements (e.g. the new IFRS 9…
No-arbitrage models of term structure have the feature that the return on zero-coupon bonds is the sum of the short rate and the product of volatility and market price of risk. Well known models restrict the behavior of the market price of…
Accurate prediction of remaining useful life under creep conditions is essential for the structural reliability of high-temperature components in critical engineering systems. Traditional approaches based on deterministic parametric models…
Probabilistic programs are a powerful and convenient approach to formalise distributions over system executions. A classical verification problem for probabilistic programs is temporal inference: to compute the likelihood that the execution…
The purpose of this paper relies on the study of long term affine yield curves modeling. It is inspired by the Ramsey rule of the economic literature, that links discount rate and marginal utility of aggregate optimal consumption. For such…
Financial structures such as securitisations, insurance contracts, and other hierarchical claims systems can be interpreted as deterministic allocation mechanisms acting on stochastic inflow processes. This paper develops a general…
The general problem of asset pricing when the discount rate differs from the rate at which an asset's cash flows accrue is considered. A pricing kernel framework is used to model an economy that is segmented into distinct markets, each…
We propose a resilience-based framework for computing feasible assume-guarantee contracts that ensure the satisfaction of temporal specifications in interconnected discrete-time systems. Interconnection effects are modeled as structured…
We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted…
Learning-based models for fluid dynamics often operate in unconstrained function spaces, leading to physically inadmissible, unstable simulations. While penalty-based methods offer soft regularization, they provide no structural guarantees,…
Controlled ordinary differential equations driven by continuous bounded variation curves can be considered a continuous time analogue of recurrent neural networks for the construction of expressive features of the input curves. We ask up to…
The goal of this paper is to indicate a new method for constructing normal confidence intervals for the mean, when the data is coming from stochastic structures with possibly long memory, especially when the dependence structure is not…
This article presents a type-based analysis for deriving upper bounds on the expected execution cost of probabilistic programs. The analysis is naturally compositional, parametric in the cost model, and supports higher order functions and…
The non-gaussianity of processes observed in financial markets and relatively good performance of gaussian models can be reconciled by replacing the Brownian motion with Levy processes whose Levy densities decay as exp(-lambda|x|) or…
We provide a constructive way of defining new elicitable risk measures that are characterised by a multiplicative scoring function. We show that depending on the choice of the scoring function's components, the resulting risk measure…
This paper presents an axiomatic scheme for interest rate models in discrete time. We take a pricing kernel approach, which builds in the arbitrage-free property and provides a link to equilibrium economics. We require that the pricing…
This paper presents a convenient framework for modeling default process and pricing derivative securities involving credit risk. The framework provides an integrated view of credit valuation adjustment by linking distance-to-default,…
Recent literature seek to forecast implied volatility derived from equity, index, foreign exchange, and interest rate options using latent factor and parametric frameworks. Motivated by increased public attention borne out of the…
There are many studies on development of models for analyzing some derivatives such as credit default swaps .
We introduce a first theory of price impact in presence of an interest-rates term structure. We explain how one can formulate instantaneous and transient price impact on bonds with different maturities, including a cross price impact that…