Related papers: On the range of admissible term-structures
The implied volatility surface (IVS) is a fundamental building block in computational finance. We provide a survey of methodologies for constructing such surfaces. We also discuss various topics which can influence the successful…
Most representative decision tree ensemble methods have been used to examine the variable importance of Treasury term spreads to predict US economic recessions with a balance of generating rules for US economic recession detection. A…
We present a non-parametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfectly, has maximal smoothness, and is given in closed-form.…
The paper studies estimation of parameters of diffusion market models from historical data. The standard definition of implied volatility for these models presents its value as an implicit function of several parameters, including the…
The study of a machine learning problem is in many ways is difficult to separate from the study of the loss function being used. One avenue of inquiry has been to look at these loss functions in terms of their properties as scoring rules…
In this paper, a unified framework for representing uncertain information based on the notion of an interval structure is proposed. It is shown that the lower and upper approximations of the rough-set model, the lower and upper bounds of…
The paper considers model selection in regression under the additional structural constraints on admissible models where the number of potential predictors might be even larger than the available sample size. We develop a Bayesian formalism…
We provide a unified framework for modeling LIBOR rates using general semimartingales as driving processes and generic functional forms to describe the evolution of the dynamics. We derive sufficient conditions for the model to be…
Handling latent variables in Structural Equation Models (SEMs) in a case where both the latent variables and their corresponding indicators in the measurement error part of the model are random curves presents significant challenges,…
The structures for the expression of fault-tolerance provisions into the application software are the central topic of this paper. Structuring techniques answer the questions "How to incorporate fault-tolerance in the application layer of a…
The lifetime behaviour of loans is notoriously difficult to model, which can compromise a bank's financial reserves against future losses, if modelled poorly. Therefore, we present a data-driven comparative study amongst three techniques in…
Incorporating constraints is a major concern in probabilistic machine learning. A wide variety of problems require predictions to be integrated with reasoning about constraints, from modelling routes on maps to approving loan predictions.…
We investigate the impact of available information on the estimation of the default probability within a generalized structural model for credit risk. The traditional structural model where default is triggered when the value of the firm's…
The literature on concurrency theory offers a wealth of examples of characteristic-formula constructions for various behavioural relations over finite labelled transition systems and Kripke structures that are defined in terms of fixed…
Indices of acceptability are well suited to frame the axiomatic features of many performance measures, associated to terminal random cash flows.We extend this notion to classes of c\`adl\`ag processes modelling cash flows over a fixed…
In this paper, we develop efficient randomized algorithms for estimating probabilistic robustness margin and constructing robustness degradation curve for uncertain dynamic systems. One remarkable feature of these algorithms is their…
Signature methods have been widely and effectively used as a tool for feature extraction in statistical learning methods, notably in mathematical finance. They lack, however, interpretability: in the general case, it is unclear why…
To make medium- and long-term insurance products attractive, it is essential to enable participation in stock market returns. However, to eliminate downside risk, guarantees must be included, which naturally leads to the challenge of…
We introduce an innovative theoretical framework to model derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on Credit and Debit…
No-arbitrage asset pricing characterizes valuation through the existence of equivalent martingale measures relative to a filtration and a class of admissible trading strategies. In practice, pricing is performed across multiple asset…